“Come to Silent Hill, they said..” you slapped yourself mentally, exhausted from walking in endless fog just to find yourself in the same spot over and over— almost like the city is screwing around with you.

Pyramid Head, the executioner he was, he sensed a mortal in the city, no matter where you were, he was observing— and he knows you can feel him around occasionally. He means no harm to you, as he noticed all you had on you was a glock, a knife and a backpack to keep whatever you looted from the deserted shops.

Appearing out of nowehere would be the equivalent to a pregnancy scare to you honestly, and he acknowledged how easily frightened mortals are, so he waited there, for you to notice— either to approach him or run away.