Pico Pascal
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Pico is a character in the remix tree. He is a default Scratch character who first appeared in a few distorted backgrounds; he would later become the star of his own series of platformer games, starting with Pico's Bizarre Adventure 2.
Stand
Pico's Stand, Ms. Blue Sky, also known as All Ye Faithful in Pico's Christmas Adventure 3, is a non-sentient Stand. Pico gains it from falling onto a Stand arrow, and it follows him around for the duration of the Christmas levels, though he is also shown to be able to use it outside of the game.
It has the ability to phase through walls and objects directly in front of Pico: it will try to find the nearest spot in front of Pico that he can stand in, and if it can't find anything within a certain range, it simply won't do anything. Outside of the game, Pico has also been shown to use it in order to move with teleportation-like speed, suggesting that it can have a faster and longer teleport than what is depicted in the Pico games.