I think it's super interesting how Jimmy's fear of Anya and the baby manifests in his mind as the Pony Express mascot.
Unlike every other character, Anya ISN'T in Jimmy's guilt/regret hallucinations near the end. He sees Daisuke walk towards the dark, he sees Swansea chase him through a cemetery, he sees Curly on fire in front of him but ANYA? Anya isn't given that kind of treatment. No, instead, we see a hallucination of the baby, a tiny horse in a womb that has no face attached to it (Anya's face specifically, all he sees is the womb), turning into a deformed monster that hunts him down the moment it's born.
Polle (the baby) is seen as a danger in Jimmy's head in the beginning of the game too, after he walks out of the cockpit. The more he walks, the louder the baby noises get and the more deformed Polle looks when he runs into it!
Jimmy doesn't give a damn about Anya, nor does he regret anything he did to her, but he is scared of that baby and what it means. The living proof of what he did to Anya, manifesting as a monster that hunts him down throughout the game.