I feel like it may be much easier to understand if you think of it kinda like a spin-off to a series that was never made. The game won't explain every bit of its universe to you, there is a plot that takes place in this crazy world. The plot is explained, the crazy world you just have to accept like you would in a spin-off because it was already there.
I think it's part of the game's charm...
I think part of the game's charm is the good ol period where you sit back while watching the credits wondering what the fuck happened
Like many suda games