Aoi in Assassin's Creed Shadows is a contact you get from Lady Nene when pursuing the The Naginata Shinbakufu, and you need to find her as part of the 'An Evening in Otsu' main story quest.

Note that you won’t be able to start “An Evening in Otsu” until you unlock Yasuke as a playable character and complete his additional flashback quests. If you want to use a scout to find her ...