I’m not gonna spoil it if you haven’t played the game, but so many other games with character creators just have it for fun. You can make your character into anything and give it any name you want. Sometimes change its backstory and attributes. But there’s no in-game explanation for it, it’s just there at the beginning and you forget about it.
Cold War acts like that’s what it’s doing UNTIL the twist near the end. It makes you realize that when you were creating your character, you were actually playing someone else.