Vampire Survivors has always brought the lore but lacked a real narrative, but that ends with Patch 1.8. As part of the update, “Adventures” mode is coming, giving some story to chew on.
That might be stretching it somewhat. The Adventures are remixes of content already in the game. They look to be separate microcosms of the main game, giving you a separate batch of unlocks. To shoot for. Each one follows part of the cast as they go through missions and tackle sidequests.