Wendigo is a lieutenant of Cornello and formerly of Vladimir. She is a twisted embodiment of the hunger and selfishness of The White, which is presumably rather unpleasant, as Vladimir considered becoming one to be a worse fate for Cornello than vampirism.
Wendigo's main role is to hunt living things in The White, as it is impossible for any living thing to hide from her there. It is said that it is also impossible for any undead to stand against her there, but given that Wendigo recently failed multiple times to reclaim "the worm shrine" from Swayne, either this is hyperbole or the shrine is elsewhere in Cornello's territory.