In Game Description
A strange doll in strange dress.
There once was an abomination who had
no place in this world. She clutched this
doll tightly, and eventually was drawn into
a cold and lonely painted world.
Inside the very first cell you start the game in. You cannot get the Peculiar Doll during the tutorial, however. You must revisit the Undead Asylum later on to find it.
Crossbreed Priscilla may be the 'abomination' the item's description refers to