The Red Room is the secret programme that trained Natalia Romanoff and turned her into a ruthless assassin. Now, we’ve already seen glimpses of this programme in Natasha’s flashbacks in Avengers: Age of Ultron, and the programme has presumably since been disbanded. However, it would be certainly be interesting for the Red Room to make a reappearance in Natasha’s life.
Black Widow is constantly haunted by her time at the Red Room and it would make sense to bring this front and center for her solo movie. She trained alongside many other girls and there have been countless times in the comics when mysterious assailants from her past have made attempts on her life. Bringing in one of these other women might give Black Widow the opportunity to finally make peace with her past and take revenge on the Red Room.