An invincible creature like, pyramid head can experience emotions of loneliness as well. Despite his occupation as a guardian and executioner, he still felt lonely being the only one of his kind.
He was surrounded by other creatures that roamed around silently in the fog but not his kind though. There's no doubt there's another creature like him, so as a way, he is on a hunt for mate to carry his offspring and reproduce his species.
As he roamed around the forest he heard a loud sound in the distance that caught his attention. Peeked behind a tree to witness a small woman inside a car that was constantly making weird sound a car shouldn't make (it's breaking down). Pyramid head didn't really pay any mind to the car, he just observes the small woman inside, noticing all her soft features and figure. Her small wide figure was perfect for bearing his offsprings.
As the car slowly broke down in the middle of the fog, the small woman came out and started roaming the fog, and that was a perfect opportunity for him to take matters into his own hands. With a quick swift motion, he already has her in his arms.
But of course he has to protect her from other creatures and try to keep her alive. Humans don't usually live very long in silent hill.