Warning: Contains SPOILERS for WandaVision episodes 1 and 2.
WandaVision episode 2 introduces Geraldine, ostensibly another Westview resident, but who is actually a character from Captain Marvel now finding herself entangled in whatever is happening to Scarlet Witch's reality. The first two episodes of WandVision include several new characters, many of whom are seemingly genuine parts of the town that's been constructed, but there are hints at a couple of outsiders, at the very least. These include Geraldine, as well as Wanda and Vision's nosy neighbor, Agnes.
Quite how all of these pieces fit together remains to be seen, and the truth of what is happening to Scarlet Witch and just who is behind the new reality is already set up to be the defining mystery of WandaVision. Geraldine may not be the one doing this, but from how she interacts with Wanda - being more directly involved in her magic show, and not fitting in with Dottie and the other Westview women - it's apparent that there's more to her than meets the eye, which is something the next few episodes of WandaVision will make crystal clear.
Teyonah Parris (Mad Men, Dear White People) appears as Geraldine in the world of WandaVision, but in truth she is actually playing Monica Rambeau. The character was first introduced to MCU fans in Captain Marvel, as the daughter of Carol Danvers' friend, Maria Rambeau. With that set in the 1990s and WandaVision taking place in the MCU's present-day timeline, then it means Monica is now an adult. Not only that, but the suggestion is that she is working for S.W.O.R.D. (Sentient Weapon Observation Response Division), the organization Nick Fury was apparently running in Spider-Man: Far From Home's post-credits scene. Given Monica's ties to Carol, and the wonder she had in that movie when Captain Marvel went back to space, then it would make sense for Monica to have grown-up wanting to be involved in those kinds of activities, making her an ideal recruit for Fury.
Of course, that doesn't explain just why Monica Rambeau is in Westview, but WandaVision does at least hint at how she became involved. It's clear that S.W.O.R.D. is monitoring events, with someone, perhaps Thor's Darcy Lewis, watching WandaVision episode 1 on TV, and the toy helicopter and then the beekeeper (both of which have S.W.O.R.D. logos) in episode 2 are further signs of their keeping tabs on things. The helicopter might be the biggest clue for Monica; like how the beekeeper was presumably someone in a hazmat suit, changed to fit the environment, the it was probably either a real chopper or a drone that was pulled into the new reality. In that case, Monica could have been its pilot, becoming Geraldine when she was sucked in.
The trailers for WandaVision have already revealed more of Monica's story past this point, which will seemingly include giving her powers. In Marvel Comics, Monica becomes a superhero after being hit by extradimensional energy - she is the second person to take on the Captain Marvel name, and also goes by the aliases Photon, Pulsar, and Spectrum at various points. Shots from WandaVision have shown Monica seemingly being powered up by energy, after what looks like she's thrown through whatever forcefield surrounds Westview, meaning that is quite possibly what gives her powers in the MCU. Parris has said that WandaVision is an MCU origin story for Monica, and it's already been confirmed that she will go on to appear in Captain Marvel 2, so "Geraldine" is just the very beginning of her journey.