In the Gates of Paradise Chapter, it is possible to skip through the escort segment without guiding Little Cereza to safety. After the fight when protecting Cereza in her force field, run and open the gate with the Camera Infront of you making sure that Little Cereza is kept on Camera. When the Beloved spawns in, Run in panther form and keep Cereza on the camera. With success, you should be able to by pass the walls that would prevent Bayonetta/Jeanne from moving forward through the tunnel and leave Cereza behind.

For how it works, if you get too far ahead of her while she's off camera, she teleports over to you. However, if you keep her on camera, she cannot teleport, which means you can blow past the trigger for the Beloved if you are in panther form and go through that part without being constricted to her.

Video by Hellblazer_Hawkman:

Video by AceKrana: