Shin Megami Tensei 5 Vengeance will come with two different story lines, the Canon of Vengeance and the Canon of Creation. While both narratives will have a similar start, they will deviate drastically as you progress further in the JRPG.
Certain maps will also be exclusive to the storylines, along with side quests. The choice to pick a route occurs at the start of the game, where you are shown the silhouette of a girl (Yoko), and asked to either take her hand or refuse it.
Taking her hand will start the Canon of Vengeance while refusing it will let you play the original story. Hence, for those new to the game it can be quite confusing as to which story route they should be taking.
Shin Megami Tensei 5 Vengeance Canon of Creation explained

The Canon of the Creation is the original story of the base SMT5 that you will get to enjoy. While the Vengeance upgrade will bring in more map elements, demons, and side quests, the main narrative is the same.
The protagonist will become the Nahobino by fusing with Aogami, and try to bring about the birth of a new world.
Shin Megami Tensei 5 Vengeance Canon of Vengeance explained
The canon of Vengeance will represent the new female demons of the Qadištu. You will meet a new NPC, Yoko, and as the story progresses you will unlock a new form for the Nahobino. The storyline will eventually deviate and will have completely new main missions that revolve around the intervention of the oppressed worshippers of the serpent.

Vengeance vs Creation: Which one should you pick?
If you are new to SMT 5 and have not played the original story before when we recommend that you start your journey in the RPG with the Canon of Creation. Keep Vengeance for a second playthrough, as both stories are equally engaging, you will not be missing out on much if you start it off with Creation.
Now, if you have already played the base game on a Switch, then the choice is a no-brainer. Go for the Canon of Vengeance and enjoy the new story that Atlus has weaved with the Qadištu as the central focus.

If you have accidentally made a choice, don’t worry. Atlus has made it so that you can decide again right after you have made the initial choice.