What Is It?
The 2014 Japanese anime OVA (original video animation) Attack On Titan: Lost Girls.
Here is how Wikipedia describes this anime OVA:
The stories are about two female characters in the series: Mikasa Ackerman and Annie Leonhart. “Lost in the cruel world” is about Mikasa and her relationship with Eren, featuring a vision in an alternative universe where her parents weren’t murdered. “Wall Sheena, Goodbye” is about Annie and her life as a member of the Military Police Brigade in the time before she attempts to capture Eren on a Survey Corps reconnaissance mission. “Lost Girls” is about their interaction during training and the reconnaissance mission.
The anime adaptation was released as a three-part original anime DVD, along with the 24th, 25th, and 26th limited edition volumes of the original Attack on Titan manga, respectively. On May 2, 2022, it was announced that Attack on Titan’s eight OVAs would be dubbed and released by Funimation and Crunchyroll weekly starting on May 8, 2022.