Haley and Claire used to live with their parents in a mansion in the woods until the parents abandoned them and never came back or said anything. After dying due to an unknown illness, Claire's spirit was unable to move on due to her brother Haley's actions to protect her.
After he loses a Duel against Leo, Haley thinks that in the end he couldn't protect her. However, Luna, Yusei Fudo and Claire's spirit reassure him. His sister's spirit tells him not to hurt them, as Leo was only doing the same thing Haley was doing for her in the first place.
Upon Haley realizing that Leo and Luna are also siblings, Claire tells him that he had the job of protecting her for a long time. When the time came for them to move on, Haley told Leo to continue doing that same task for Luna as well. As Leo promises this, both Claire and Haley fly to the sky and vanish with their house.