Rin was intended to be in EoSD, and was shown (or at least someone was shown) in a circle cut for Comiket, before EoSD came out. When the game was released, however, the only traces of Rin were some unused sprites and some code that spelled out her name. Going by the way Persona works, Rin is troubled by how close she came to not existing to the majority of the Touhou fandom. If the circle cut didn't exist, the only things showing she even existed would be stray code that was left in the game, that could have been removed just as easily. When she refused to accept her mortality, and how easily it could have been taken away, her shadow turned into a demon, one that shows a foetus in the womb, whose head is egg that's been broken before its contents had fully grown. It's the idea of how Rin was aborted from the game despite existing to some people already, thanks to the one image ZUN posted before the game was released.