The Stalker is a Serial Killer
He somehow ended up getting someone's organs, so it's possible.Lacey is a sentient character
She seems aware that Jay was killed off for parent’s complaining she wasn’t feminine enough, and also in Lacey’s Wardrobe managed to talk to the player. It’s up for debate on if the latter is simply early installment weirdness, however.Related to the above…
Lacey is not Rocio.This is supported by several things, such as her reacting with fear upon seeing what appears to be Rocio in the mirror, desperately trying to bring Jay back instead of knowing she made that decision cause of those moms, and her not really hinting towards having once been real. Some probably not canon but still noteworthy evidence is that her plushie says to “make her a real girl”, which, although it might make some sense for her to have been one once, sounds more like she hasn’t been one and simply wants to be one.
The Stalker killed Lacey's actual boyfriend/crush
The start of the game says that Lacey has a date with a "cute guy", but Lacey herself clearly wants nothing to do with the stalker. The closest thing to another person that we see is the Stalker's "gift", so it's possible that he killed Lacey's boyfriend, perhaps seeing him as an obstacle to "their" relationship