You need to buy that figure. The guy is at the beginning/down of the red area before the last boss. Here is an video: One figure is bugged btw
https://youtu.be/FR8hW1zWG-Q?si=puJnLOSv7acLgtaT&t=163

In Blasphemous 2, you can buy missed items to a special merchant. But it means you missed the item. To gain the Prisoner, you need to talk to him somewhere in Santa Vigila. But for that you need to do a special action : when he asks you to pull the last lever (same as the first) to activate the guillotine and finally execute him, instead, jump and break the blade. It'll free him, and still open the door.

Si lo has decapitado tienes que comprar la figura al vendedor ambulante. Pero si le has salvado la vida, él te da la figura cuando lo encuentras en Santa Vigilia