I am about to do a quest to retrieve some paint for the Green Monster. On my way there, I keep hearing "Can somebody help? She needs help, please help us". I just got out of Diamond City and heading towards the quest marker, when I hear this. I look around and I can't find anyone who is asking for this. It's in a females voice so I expect to see a woman, but I can't.

What should I do? In 3 games I ignored it before (damn resartitis) but this time, I want to try and help, but I can't find them. Is this a quest? If so, where do I go and try to help?

It's not actually a quest unless you have got the quest from the guy at the Green Wall in Diamond City. She's there, quest or no quest, usually standing in front of a hardware store. Whether you follow her inside or not is entirely up to you, and will not have quest related consequences that I know of. Hope that helps.