This takes place during Volume 5.
Chapter 1: The Hunt Begins
Jaune was sleeping and, as it may be expected, dreaming. While he had somewhat gotten over the loss of Pyrrha, he still had nightmares of what happened. This was one of those nightmares.
Jaune was standing on top of the Beacon Academy building, unable to move as the arrow shot through Pyrrha's chest.
As most of these nightmares went, Jaune cried out as he saw her body fade away, but something was different. Normally, he would wake up to Remnant, with his friends sleeping in various nearby locations.
That's what made this weird, Jaune realized. He was inside a temple, and the only other person there was Pyrrha, laying on an altar-like structure looking out to the horizon. There were several pillars ahead of the altar, with a staircase on either side of the altar.
"Welcome, one known as Jaune," a voice, that sounded like multiple yet one, boomed.
Jaune spun around, yet only saw the long hall with eight statues on either side, as they led to another room.
"Who's there?" Jaune called out.
"I am the one known as Dormin, banished from whence I came," the voice answered.
Jaune realized it was coming from above, assumably from the hole in the roof.
"Ok, and what do you want? How did I even get here?" Jaune asked.
"I have an offering to give. A chance. A chance to take back what was once lost," Dormin answered, the multiple voices speaking unanimously.
"Uh, first I need to understand where I am, and why Pyrrha is here. Is this even Remnant?" Jaune said.
Dormin groaned in annoyance, then proceeded to explain to Jaune that this was a dimension of Remnant, and they were in the Forbidden Lands where sixteen colossi lay dormant, and for Jaune to revive Pyrrha, those sixteen would have to lay dead.
"This is crazy! I don't get what's happening!" Jaune exclaimed, panicking.
"Silence! Will thou slay the beasts or not? If thou would succeed, thy love will be with you once again," Dormin said.
Jaune breathed in, calming himself down, and realizing he would probably have to do this either way.
Jaune remembered the time he had with Pyrrha, the pain of losing her, and the yearning to be with her again. She was first one who believed him, and helped him learn to fight and to lead. He turned towards the huntress, a tear bubbling and running down his face. He closed his eyes, wiping the tear, and focusing on his decision.
"Well?" Dormin asked.
"Alright, where to first?"
"Raise thy sword by the light… And head to the place where the sword's light gathers… there, thou shalt find the colossi thou art to defeat," Dormin riddled.
Jaune was confused, but raised his sword up anyway. There was a faint shimmer of light reflecting off his sword, and as Jaune walked out past the pillars, a beam of light shot across the plains, to a crevice in the mountainside. Jaune lowered his sword, and the beam disappeared.
"Hope that doesn't happen every time I raise my sword," Jaune joked with himself.
Before Jaune could even turn towards the stairs, a horse slid to a neighing halt in front of him.
"Thy steed, for thou shalt need one," Dormin sighed.
"Well, glad I have seven sisters," Jaune sighed, climbing the horse and galloping away, towards the crevice.