Honestly, a majority of the plot and setting can be considered Fridge Brilliance, as the more you look at it the more everything seems to lock together on a variety of levels. Even the most bizarre aspects of the game end up being justified since reality becomes whatever nonsense is spread widely enough by word of mouth, no matter how insane or stupid the rumor happens to be. Even the things that don't make any kind of sense, on reflection, make perfect sense.
Baofu's Persona's starting arcana is the Hanged Man. He's constantly feeling guilty about how his Persona managed to save him but did nothing for his lover. He gets over it after a while.
An argument about Hitler's inclusion resulting in accusations of Japan whitewashing their involvement with World War II made me realize something: Hitler would have been the only choice that would have made sense. Both Mussolini and Tojo are deader than dead, there were witnesses. Due to mismanagement, nobody could prove that Hitler really died and this spawned numerous conspiracy theories that Hitler is hiding somewhere.
When contacting a demon, I always wondered why it seemed that each emotion already had a rank in them. Then you consider that upon a demon seeing a human, it makes perfect sense. A demon would be Happy to see something other than a demon, Angry that they're being bothered by a battle, Eager to learn more about the human, and Scared of what the human might be capable of. Then you build on each emotion from there.