Bonfires

First bonfire just after freeing the sleigh. Same path as first grim. You will need the key circled in first pic

This is assuming the path you take after cog mid event takes you right towards the hill. It is just before you drop to the sleigh, just after climbing the hill.

This is assuming the path you take after cog mid event takes you left, towards the ropeway It is just before you drop to the sleigh, just after exiting the cave

Lighting the two available bonfire unlocks a loot room just before finale. To get the achievement for all three bonfires, you have to replay the map and get the other path.
It also opens an additional bit of loot in the finale, alongside a guaranteed ammo box and healing.