This Red Priestess is seen preaching on the streets of Meereen to a crowd of townspeople about Daenerys Targaryen. Her presence (and the fact that she pointedly mentions Daenerys's advisers) is likely the result of the agreement between Kinvara and Tyrion Lannister.
Behind the scenes
The Red Priestess's necklace, belt and chest piece clearly displays a motif of elongated hexagons, a shape associated with Asshai and featuring prominently in the wardrobes of the Red Priestess's fellow missionary, Melisandre, the Asshai'i expatriate Quaithe, and the Red Priestess's own superior, Kinvara. See "Costumes: Essos - Asshai". Interestingly, this Red Priestess's necklace is closer in shape to Melisandre's and Kinvara's, than to that of a different Volantene Red Priestess.