WMG / Katana ZERO

The little girl is (a hallucination of the young) SNOW

Both ladies with black hair, wearing buns. The little girl is seen in silhouette in Zero's earliest dreams of his time in the war, and we see in the climax Zero has a serious aversion to harming children - he may have protected SNOW against orders at some point in the war. On Halloween, the little girl dresses up as Zero and later while watching movies seems curious about the idea of him being a swordsman/samurai; hence SNOW growing up into a similar killer herself. Comedy and Tragedy say she will meet a baleful end and imply Zero will come to regret living - he will end up killing SNOW, the girl he once saved.