There are three ghost side-quest, and doing all three and then doing the final one unlocks a hidden scene of Sebastian finding himself, but on-top of this there's various memory residues, files, and environmental story elements related to the ghost hidden throughout the game. Most don't state they're related to the ghost, you have to sort of piece it together. The Ghost Lady is actually what is turning everyone in Union into the Lost, you may notice in the Church in Chapter 3 before the priest turns he has his soul sucked out like the ghost's death animation and then turns into a Lost. In the ghost's death animation, you may notice that right before it cuts to black that Sebastian is turning into a Lost. They're called Lost because they're basically virtual people in the world that have literally lost their souls/consciousness. Various residues talk about people in STEM who began to see some invisible force that was coming through the walls and getting closer and closer to them, no one else seemed to see it and it was terrifying them. In Chapter 11, Mobius is looking into why people turn into Lost. It's revealed that 0.005% of people in STEM turned into Lost before this recent outbreak, people in STEM would regain their old memories while within STEM (like some of the side-quests you do in TEW2, including the ghost side-quests), but the moment they began to remember themselves and question where or why they were here, they began to panic and claim something was following them and coming for them, but Mobius couldn't determine what or find any signals.
They first thought it was related to their memory wiping process, but then people in Mobius began to turn too, starting with the person who was watching over the Pit they were dropping the Lost into where the third and final Ghost side-quest is (and a small detail is the guy before he was turned into a Lost and haunted by the ghost claims he can hear the voices of the Lost in the pit despite that should be impossible, while YOU can hear the voices in the pit before the Ghost side-quest, but after you have regained yourself the voices in the pit disappear). You may notice when you encounter the Ghost, reality changes into the blue-tinted world, which reflect the STEM world but is also different) when you encounter her in Chapter 3 in the overworld, you may notice that the overworld changes slightly, all enemies despawn, items missing, some other small changes), which is related to another side-quest talking about the 'deeper layers' of STEM, aka deeper parts of the subconscious. When in the Ghost's presence and susceptible to her, you slip into a deeper layer of STEM. In the original Evil Within, even Ruvik comments in a file how he saw Laura's ghost down a hallway and knows that she's alive, and how he describes her is REALLY similar to the ghost you encounter in TEW2 (the Ghost undoubtedly resembles Laura, and in the original file one of the comments Ruvik makes in particular is about her hair flowing, which the Ghost does a lot of).
There's a lot left to theorizing, but I think the end you get if you do all three side-quests relates to this. The Ghost is part of a deeper layer of STEM implanted by Ruvik in Laura's image, one he doesn't even know he created and one he doesn't control. Ruvik was haunted by his memories, and they conjure themselves up in the image of Laura. Ruvik created STEM specifically for Laura, that was the whole reason he made it. Mobius created their own STEM from Ruvik's framework and thought they purged all of Ruvik from the system, but as we learn from Sykes in a Chapter 13 side-quest that there's still some deeper layers of STEM that even Mobius is not fully aware of, and there's layers of STEM if you enter they have no known method how one can escape from, one will be trapped forever inside STEM if they enter some of the deeper layers of STEM. The Ghost (who's official name is 'Anima') is from one of these deeper layers, and she surfaces and begins to haunt those who are haunted by their own memories like Ruvik was. There is a HUGE outbreak of this when the Core is lost, the world literally breaking apart and people regaining their memories conflicting with their new ones and the people of Mobius beginning to regret what they've done is what starts causing everyone to turn into Lost, as this state of being haunted by a part of one's own self and memories allows the ghost within STEM to come for you. It's also why Sebastian ultimately no longer see's the Ghost after the final side-quest when he puts the lost, scared, and scarred part of himself 'still trapped in STEM' to rest.