She's an insane asylum patient who has been subject to horrific psychological tests, causing her to suffer from amnesia, schizophrenia, hallucinations, etc. The asylum in which the game takes place is mysteriously abandoned and she's trying to find out about who she is, how she can get rescued, when and why she was brought here, etc. She can't simply leave because there's a freezing blizzard outside. The enemies are horrific apparitions and monsters, perhaps hallucinations.
Some character roughs for the main character. In this sheet, I'm still trying to explore who she is, her personality, whether or not she can fight, etc. I am purposely using a very abstract drawing so as to not get bogged down by interior details, and most focusing on the overall mood and silhouette appearance.
Some environment sketches and studies: