During chapter 5 you can easily miss this trophy.
While travelling between locations you’ll have the option to start a random encounter called Far From Home. When you enter you’ll speak to 2 small children who tell you of something strange happening in their town. If you accept to help them you’ll get a side quest called The Strangeness.
This will get you to go to the town of Bripton to meet the children and find out about this Strangeness. You’ll find the children on the roof of the saloon and they’ll tell you people have been seeing strange blue lights and acting weird. This is where you’ll start your investigation into this matter and why this trophy can be missed.
As you ask the townspeople about the lights, they’ll point you towards 2 people, the doctor and the bank owner. As you question these people you’ll have the option to press them about the blue lights, and if you do, they’ll become hostile and try to kill you.
*IMPORTANT* These are the 2 innocents you need to save. If you kill either the Doctor or the Bank owner, you will not get this trophy.
Instead you’ll need to go to an abandoned house right beside the saloon and across the street from the firearms store. You can use 3 lock picks to open the door, or if you have a rope, climb to the roof and put the rope down the chimney allowing you to break inside.
Down inside the basement you’ll find a Dread Wraith you need to kill and the trophy will pop.
Here's a video of it as well: