We continue Dolores Chapter after you taken the small key from George.
In the room you are in is a back wall. Interact with the back wall. The back wall will disappear and reveal a secret door. Use the small key to open this door. On your left you see a table with a small box. Open the box and you find the cloud toy in it. There is also an audio cassette in that box. Also get this audio cassette.
You found the cloud toy. Start searching for the Special Thee.