If we think of reflection in $\mathbb{R}^1$ (multiplication by $-1$), this can be represented as $180$ degree rotation in euclidean plane (assuming a "natural embedding" notion of $\mathbb{R}^1$ into $\mathbb{R}^2$).
Similarly all reflections of the square in the euclidean plane can be represented as rotations in $\mathbb{R}^3$ (around the axis of reflection).
I am wondering if there is a general principle here that any reflection in $\mathbb{R}^n$ can be represented as rotation in a higher dimension "in a natural way"?
Yes! A reflection $r$ (across a hyperplane through the origin) in $\mathbb{R}^n$ is a linear transformation with $n-1$ linearly independent eigenvectors of eigenvalue $1$ (these span the hyperplane), together with $1$ eigenvector of eigenvalue of $-1$ (orthogonal to the hyperplane). So, in this eigenbasis, a reflection looks like the block diagonal matrix, $$ \left( \begin{array}{c|c} I_{n-1} & 0 \\ \hline 0 & -1 \end{array}\right) $$ where $I_k$ is the identity matrix of size $k$.
Now consider the space sitting inside euclidean space of one dimension greater, via the embedding $\iota: \mathbb{R}^n \hookrightarrow \mathbb{R}^{n+1}$, mapping $(x_1, \dots, x_n) \mapsto (x_1, \dots, x_n, 0)$, as well as the projection $\pi: \mathbb{R}^{n+1} \to \mathbb{R}^n$, mapping $(y_1, \dots, y_n, y_{n+1}) \mapsto (y_1, \dots, y_n)$.
In this larger space, the proper rotation $\rho$ (i.e. in the special orthogonal group) $$ \left( \begin{array}{c|c} I_{n-1} & 0 \\ \hline 0 & -I_2 \end{array}\right) $$ has the property that it acts identically to the reflection on the $n$-dimensional subspace with final coordinate $0$. In other words, the following diagram commutes: $\require{AMScd}$ \begin{CD} \mathbb{R}^n @>{r}>> \mathbb{R}^n \\ @V{\iota}VV @AA{\pi}A \\ \mathbb{R}^{n+1} @>{\smash[t]{\rho}}>> \mathbb{R}^{n+1} \end{CD}
In other words, $r = \pi \circ \rho \circ \iota$.