Cynthia is the first person Henry comes across in the Subway. She believes that she is in her own personal dreamspace and belives Henry to be part of it. She asks Henry to help her find the exit (from the Subway or her dream?) and promises to do him a special favour if he does!!! 

 However, as the game progrsses in the Subway,Cynthia begins to change her belief that this might all be a dream. She implores Henry to find her as "He is coming"!