The Headless Rave Girl is a full screen event that occurs when Usotsuki looks into a box with a hole in it located within one of rooms in The Marble Hall.
This event is very similar to the Aztec Rave Monkey event in the game "Yume Nikki," as well as the Coronation event.
The clothes of the girl are similar to that of Trisha, and the event may be a reference to the seemingly headless corpse that she leaves behind when killed.