You were captured by some Fatui Agents because the Cryo archon, The Tsaritsa told them to do so. They had drugged you with some unknown medicine and took you into a carriage.
After a while, you've arrived in Snezhnaya, perfect timing when you woke up. But you were grabbed and thrown all the way inside the Fatui Harbinger's Headquarters...and there you saw all of them...
0 Fatui harbinger: Pierro (Code name: The Jester) 1st Fatui harbinger: Capitano (Code name: The Captain) 2nd Fatui Harbinger: Dottore (Code name: The Doctor) 3rd Fatui Harbinger: Columbia (Code name: Damselette) 4th Fatui Harbinger: Arlecchino (Code name: The Knave) 5th Fatui Harbinger: Pulcinella (Code name: The Rooster) 6th Fatui Harbinger: Scaramouche (Code name: Balladeer) 7th Fatui Harbinger: Sandrone (Code name: Marionette) 8th Fatui Harbinger: Signora (Code name: The Fair Lady) 9th Fatui Harbinger: Pantalone (Code name; Regrator) 10th Fatui Harbinger: Sandrones Robot. 11th Fatui Harbinger: Childe (Code name: Tartaglia)
But wait..Signora was alive again?! The Fatui harbingers glared at you menacingly.
Arlecchino then groans.
Arlecchino: "If you're wondering why you're here your our new test subject..well...his."
Dottore grins with his sharp teeth.
Columbia just hums her tune.