Wanda looked extremely surprised to see Pietro in her doorway. Could it be possible that someone else brought him into her reality?
One thought going around is that Agnes is behind Pietro's appearance. Why? Agnes is present when one of the twins tells Wanda she can fix anything, including the dead.
Agnes asks if she can do that and Wanda simply never responds. Wanda says, "We can't reverse death. No matter how sad it makes us."
Perhaps Agnes, aware that Wanda had a brother, tried to bring him back. But, since you can't truly revive the dead (Vision is an AI after all), maybe the next best thing was finding a version of Pietro from another parallel universe to play the part of her brother.
Many, including us, have already theorized that Agnes may be the MCU's version of Agatha Harkness, a powerful witch and mentor to Wanda. We know Agnes seems a little too self-aware of the Westview anomaly.
On episode five, Agnes messes up a cue and asks Wanda if they should take the scene from the top. Moments later, she's not phased when the kids age from babies to 5-year-olds right in front of her eyes. It's like she knows she's trapped in a sitcom and has just accepted it for the time being. Why? Our best guess is that she's trying to placate Wanda because of her powers.
If Wanda gets upset, it may put everyone in Westview in jeopardy.