What if .......
what if Wally Darling is a manifestation of trauma by the crew of of welcome home.
Spoilers for Paranoia Agent
The residents of Musashino City are being terrorized by a young man named Shounen Bat (Lil' Slugger) described as a young teen on roller blades holding a baseball bat, think serial killer but without killing part, Shounen Bat attacks people and knocks them out without leaving any evidence.
after many twists and turns it turns out that Shounen Bat is a manifestation conjured by the victims who are suffering from distress / trauma / pressure from society.
My theory is based on the recent video where it was mentioned that Wally's puppeteer is unknown, and Wally "takes control" of Frank.
So what if Wally was puppeteered by the whole crew (taking turns to fill gap in the cast), and using wally to project and process their own individual issues and traumas. Giving Wally a life of it's own (in their heads), kinda like when Danny Torrance (The Shining) wiggles his finger when his “alternate personality” Tony speaks through him.