Personally, I believe Teddy Bear would fit after Mad Hatter, but before Gingerbread Man. Since the song’s about a teddy bear who suddenly gets an interest in killing the person who created it, my theory is that Cry Baby is doing this to herself because of her insanity. The teddy bear isn’t doing anything. Her insanity has given her a multiple personality disorder where one side is trying to kill Cry Baby, and the other’s trying to avoid all the death threats.
It’s an alright theory, but Teddy Bear is a metaphor for an abusive relationship between her and her partner, similar to Rough Love, but worse. The reason why it isn’t apart of Cry Baby’s story is because it didn’t really fit with the album’s theme.
Teddy Bear is about Cry Baby being happy in a relationship until he starts getting violent with her, not about a teddy bear trying to kill who it’s creator was.