Spoilers
The girl he was walking and holding hands with didn't have to be another girl. The scene only shows glimpses of her and her clothing makes her look like an old woman, in my opinion. Like Miss Swan or something. True, he lied to Amy about where he was. But in the forest he wanted to confess. She didn't let him speak. Why didn't he explain before she went any further... I don't get it.
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xoxo
Kenny was an idiot for going that deep into the woods with a clearly unstable person. He knew she was nuts from the moment they met. After she and her pal tossed him out of the car he should never have had anything to do with her again. When she approached him in her embarrassing chicken suit (is that how she is an "artist"??) he should have simply been polite, or pointed, or angry, or anything but open. I figured he was dead that first day with her, when they went to the junk yard.
Over all he was simply an idiot. In his defense maybe he was being passive expecting once he got past her defenses she'd be the wildest sex he ever had. Or maybe he himself was emotionally ill.
There was a scene where Amy snoops through Kenny's phone while he is sleeping. It never shows us what Amy see's on the phone, but I don't think we're supposed to know. Regardless of whether or not Kenny was actually cheating or if it was just a big misunderstanding, the point is that Amy's psyche was so fragile that the tiniest shred of doubt about Kenny caused her to finally go off the deep end (if you don't already count dancing around in the woods wearing creepy fetish costumes as "going off the deep end").
I think Amy didn't let him confess because by that point she didn't care what he had to say, and I think Kenny just kept walking because Amy was already upset and probably wouldn't have handled the news well, therefore Kenny decided to indulge her and go to the "special place" she had talked about.