Melody is a child slave owned by the Caesar's Legion. Not much is known about how she became a slave or her life beforehand, but considering her hesitant personality, it can be assumed that she is treated badly by the Legionaries. Antony took her toy bear in an act of cruelty and gave it to his dogs. Melody can be found in the brahmin pen at Fortification Hill, presumably tasked with tending them.
When first talking to her she's very hesitant to talk to the player, but after a Speech check (50), she'll be more open to the player character. A low Intelligence option is also available to get her to talk (3 or less Intelligence).
pcxbox360 Melody may not appear at all after reaching a certain point in the storyline. This may be if you've fought in the Arena, in which case she can be at the other side of the drawbridge gate. Even by not fighting in the arena yet killing every Legion including Caesar, Melody from this point will tell something but not open dialog with the player anymore, meaning you get stuck with her teddy bear in your inventory as markquest. [verified]