Your younger brother Nathann went missing several months ago. You and your parents were distraught because you assumed he died. One day however, he came back, but things were different. He, or rather she, had transitioned from male to female, and now goes by Natilie. She was never really happy being a male, but chose to run away because she was scared you and your parents wouldn’t accept her.
(Also she’s a big Sonic fan and her first game was Sonic 06, so she has a soft spot for that game.)