Investigator Valeria.
Yes, Hollyphants exist in D&D lore. No, they don't just casually hang out in the city without no one wondering what the hell the flying miniature elephant is. They are planar celestial creatures. They are telepathic but of course the Larian version is straight out of George Lucas catalogue of funny creatures for kids, speaking common and being desperately funny.
It's like toy day at Larian where everyone gets to choose their favourite funny creature and it gets tossed in the game no questions asked. It doesn't have to make any sense.
If they really had to include such a creature for absolutely no reason, couldn't the Hollyphant be a familiar of a human investigator Valeria? And just keep to the D&D lore? This screams how someone in the dev team just wanted a Hollyphant in the game no matter because they're so cute. But nothing has to make sense. Everything is just thrown in. Like someone wanted a vampire companion and there he is, not making any sense in the narrative context, getting staked by me every time, wishing I had a Rogue companion that wouldn't be cringe. How are you supposed to take anything seriously when it's all just a joke, everywhere? Even the villains are turning into Dr. Evil in Act III.
It doesn't have to be Game of Thrones or Dark Souls serious. D&D should be fun and silly at times. But things have to make sense. I guess a lot of people don't care?