La Llorona, (the Crying Lady) actually.
This one extends into Colorado. I spent many a night in rural SE CO absolutely sure she was outside my house.
California too. I think it is prevalent in Hispanic, specifically Mexican Folklore.
There is a “Llorona” (actual correct spelling) movie. I think Netflix has (or had) it. Or Prime. Or Freevee.
Scared the hell out me when I was young. Our house in Albuquerque was adjacent to a irrigation ditch.