Is 'The Magician's Apprentice' in the Series 9 opener Shona from Last Christmas? That is certainly one fan theory. With the Doctor and Clara truly understanding each other now, a new companion is needed to shake things up - a companion completely different to the other. Moffat himself recently discussed how the Series 9 Doctor/companion dynamic would develop.
We took the Doctor/companion relationship to a place thats just more real in , much more damaging and with more consequences. And whoever the companion is , you want to continue that idea. It can be a thrilling, exciting relationship but actually it can be a dangerous one too. That felt quite powerful and potent.
It is unlikely that he's referring to Clara. While Shona would be interesting, adding someone alongside Clara would be the perfect opportunity to introduce a companion unlike all the Nu Who companions before them. After all, Doctor Who is continually about change so a decade in the show can mess with that dynamic. A human from the distant past - and no Moffat, it doesn't have to be Victorian London - or the future or even an alien. If Clara stays onboard the TARDIS as the classic modern day female companion then a second companion could be totally different. If Missy was an experiment for Time Lord gender change, then a third TARDIS resident could be the experiment for a completely new form of companion.