Since the game hasn't been released, I can't explain the full story. So this is all theoretical as said in the discussion title.
So we are told that a female individual most likely a monster is following us in this game.
The last discussion that was in October clearly hints that someone particularly a woman is following us. Now some people may think that this may be Six from the last 2 games. But this isn't Six, It was confirmed that Six will not be in Little Nightmares III sadly. But we will get a bunch of new monsters to add to the lore of the Nowhere.