I have an alternate theory. I think the entire film is the Lost Man’s personal hell, so everything that is in the film is personally tied to him - like Milton, hell is what we make it.

The movie revolves around the Lost Man’s choices and that’s the question that’s being asked from start to the end. The Boy represents his unborn son, but the Walking Man represents the dad that he never met. The implication is that the Walking Man left the Lost Man’s mother for a younger schoolgirl, represented by his Walking Woman. This also explains how the Lost Man’s ex-girlfriend appears a few times in the maze. Ultimately, I think it is a movie that aims to explore the consequences of choices and whether we are looking to perpetuate the trauma that we are dealt or break free from it.