Nina was Marcus's biological daughter, but she died really young and found her way into his favourite puppet
he carries her around because he just loved her so much and regrets not being able to save her.
Nina cares for her father, but refuses to admit it because she doesn't want anyone else to know she has normal feelings
Nina will kill for her father if needed, even if that means killing Marcus himself
Marcus likes to repair any marks or scrapes Nina's puppet body gets, because it makes him feel like he's being a good father that he didn't get the chance to be when she was properly alive