Valkyrja was found by a group of heroes who met up investigating the crash of Oceanic 508. According to Valkyrja, she was released from her "barrow" when a hero died near the demon temple, and she was called to take his soul to Valhalla.
Valkyrja claims to be an original Valkyrie -- those that existed as demons of death on the battlefields who devoured the corpses of the brave dead, and pulled their souls up to a Valhalla filled with continual battle in training for the final battle to come. As Christianity started making inroads on people and territories once held by the Norse mythos, Odin decided to make Valhalla more enticing, and started changing his Valkyrja into Valkerie, the sultry 'shield maidens' of Oden. Valkyrja and others resisted the change and were cast down to earth to be trapped in barrow with only a few bones to tied them over for the eons.
The others faded away. Only Valkyra remained.
While Valkyrja is very old chronologically, mentally she is a normal person, the memories of the barrow spent in a half dreaming sleep, and a byproduct of keeping her "immortal mind" fresh.