If I had to take a guess about the MC's past currently, I'd say he was in actual Hell and that mystery giantess was a powerful Archdemon or something similar who hoards human souls as her property. Elliette talks about how when she incarnated into the mortal world from Heaven she lost most of her memories and had to adapt to move around in a corporeal body, which fits with the MC having amnesia and his body being severely depleted/needing a lot of rest to recover from something traumatic that happened (being rescued by someone/managing to escape some other way). Just a theory tho.