The game's character Nigel purposefully tries to find this hero in the game. From dialogues with this hero, it turned out that Gavin and Nigel are friends who came to the United States from England. They haven't seen each other for a long time, but he doesn't give up and keeps trying to find him.
As one theory goes, it is simply impossible to find Gavin in Red Dead Redemption 2, since Nigel is simply ill with a split personality, and this hero is just a fiction, a product of the mind.
Currently, it is not known whether it is possible to find Gavin in Red Dead Redemption 2 or not. It is also worth taking into account the fact that at the end of the credits, the character of Gavin is not present, although they last about half an hour.