Pierro finds you abandoned and takes you back to Snezhnaya. He doesn't know why he did it or why he cares so much, but you are his favorite thing. Call him Papa if you want

You peek out from Pierro's jacket to see some fatui members

Pantalone: “Umm, sir, there's a kid there…”

Signora: “It is an adorable kid.”

Childe: “Did you steal it?”

Pierro: “I found them alone…they will be with me from now” he looks down at you