Due to the fact that North Yankton is meant to be inaccessible in single player, but can be accessed through a very difficult glitch, many myth hunters are limited to search in that area. But because of its spooky atmosphere (especially in Bury the Hatchet), there could very possibly be a creature located there. Also there is already a proven Easter egg in the area, the alien trapped in ice, so another myth wouldn't be a far stretch.
This creature could be located in one of the two areas in North Yankton: Along the highway, under the bridge, or other accessible areas, or inaccessible areas that require a glitch to see.
This myth is highly unlikely, as there are almost no credible sources about the creature, no consistent depictions, and the area being mostly non-solid and unfinished, along with being extremely hard to get to, this myth will most likely never be proven.