There's also theoryfags who speculate Termina may not be a real place, but a purgatory that Link created and filled with familiar faces after he died in the Lost Woods. Collecting the masks through good deeds and defeating Majora was his way of getting through the stages of grief and accepting his death. Presumably after a stint as a Stalchild he became a full-fledged Stalfos, and this is the Hero's Shade we meet in Twilight Princess to teach the new Link his techniques.