One of the characters, likely Poniko, had a dream where she met a girl with brown hair and long braids. That girl was named Madotsuki. Madotsuki gained a soul during that dream, but, no physical body, and so is forced to live in Poniko's imagination. Poniko kept a dream diary, and, that is the only proof that Madotsuki actually exists somehow, and, it's also why she can't go outside. She can't leave Poniko's imagination, and so, continues to wander around Poniko's imagination. The ending is her getting bored, and breaking her existence/consciousness.10 posts and 2 image replies omitted. Click reply to view.
While I was writing my theory, I had so much trouble not thinking of inception.
I think it makes more sense if the wandering scarf and hat girl is the dream of the sleeping igloo girl. She's astral projecting her hat for some reason.
Wait no this sounds better.
She's freezing to death in the snow, so she's dreaming of wearing a hat and a scarf.