The information in this article is from the fan game The Silver Lining and is therefore not canon.
The Hole-in-the-Wall was a rather odd critter from the Isle of Wonders. After scampering about in the Catacombs of the Ancients when it was frightened by the Minotaur, the creature found his way out and met up with Graham. It was only thanks to Graham that the creature made it back safely.