La LLorona is a mythical woman whose husband cheated on her. To exact revenge, she drowned their children. In punishment, she was made to wander the riverways of the world in search of wayward children who would take the place of her dead children. She is said to wail in lament. She often appears in skeletal form. She is prone to seek revenge on those who cross her.
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I think another part of the answer is that as a child your parents tell you scary stories. When I was a kid anytime I misbehaved they would tell me that La Llorana was going to take me for being bad. So in this movie he is thinking that because he has behaved badly, La Llorona is coming to "get" him.
La Llorona is just an Hispanic variation on the Bogeyman theme that exists in white culture. People of all cultures come up with fantastic creatures and monsters so as to scare and manipulate other people - namely children. Also, if kids are good, the tooth fairy or Santa Claus or some such will be nice to them and leave them a gift. That's what we tell our children. It's all a form of manipulation.
I thought the "La Llorona" bit was an interesting part of the movie, though. It gave me a glimpse into the Hispanic culture that I had not known before.