Frey is currently just a fan theory stating that the song Frey's Philosophy may have been named after a person of great significance that will be found about later in the story.
There are two reasons to support this:
- Powerless made the song specially for this game and hasn't released it anywhere outside of the game.
- It is the only song with a name in the title, which is odd in itself.
There is a chance we will see a character named Frey make an appearance in the future, but currently, it is just speculation.