According to Sheriff Bartlett, Natalie is often seen with the famous gunslinger Mr. Kelley, who was teaching her to shoot, but their relationship is known, Kelley is her uncle. She came to Brimstone from New Orleans, according to the postmark on a letter she wrote to Mr. Kelley. She is only referred to as "Natalie" in the game and she appers in Brimstone Saloon alongside with Mr. Kelley appear in story mode.
Sheriff Bartlett's Journal
Natalie is listed in Sheriff Bartlett's Journal on pages 234 - 235 under the Good People of Brimstone section. The pages are unlocked by unlocking her showdown character by either of the means noted above.
Natalie is likely based on Natalie Portman's character, Mathilda, from the film Leon. That character was also a young protégé of a professional shooter. The character bears a strong physical resemblance to Portman's character, and shares the same first name as the actress. In addition, Natalie's line, "Is life always this hard, or just when you're a kid?" was also spoken by Mathilda in the movie.