Oh, sorry if the order's confusing! Even though Jesse makes brief appearances in the endings of the other two games, you play as a different character each game. This game (the third one) was the first where you actually play as Jesse, and so far the order you play them in doesn't matter much, but The Well Speaks To Me is technically the first game and They Watch From The Walls is the second game. Hope that helps! In the future, I'll try to make the order more apparent XD