You can only get this sidequest when you have the ability to freely switch between the dead world and the living world with R2.
Go to the Pueblucho area. When you enter from the east (either Forest del Chivo or Agave Field), enter the first house you come across when walking westwards (the one with, in the living world, the Happy Hongo advert on the wall). Switch to the dead world. Get the quest from the dead girl if you haven't got it already. Drop down to the lowest level, directly underneath her. Switch back to the living world, and get the doll. Switch again back to the dead world, jump back to the girl and hand her the doll. Quest complete.