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.
At the very end of Innocent Sin, Maya's death by the Spear of Longinus and the end of the world feels like such a Diabolus Ex Machina - you just won! You beat the final boss, you proved Philemon in the right and Nyarlathotep in the wrong! Philemon had even just praised you for showing humanity's potential... And yet it makes perfect sense, because it's Nyarlathotep firing off one last Chekhov's Gun he had set up, one with enough subtlety that you could be utterly blind-sided by its execution (or at least forget about it with all the Nazi stuff going on), and he decided to pull the trigger then despite being beaten because he's Flipping the Table. You think the embodiment of the human self-destructive urge wouldn't give everything one final nudge even after "losing" the game when it's so easy for him to do so? Sure, it may be a Diabolus Ex Machina, but it's a very literal one since you were the pawns in a game between gods, and who says gods have to play fair?
By extension, the Bittersweet Ending of Innocent Sin (everyone alive and better off in the alternate universe, but no longer friends) follows quite naturally into Eternal Punishment because why the heck would you expect a complete asshole like Nyarly to honor having lost the game, or even honor Philemon picking up the pieces and putting them back in a box? Of course he was going to screw everything up again. Compared to all the groundwork laid in the backstory of Innocent Sin, bringing a lot of it back into play for Eternal Punishment must've been child's play when all he had to do was nudge a few memories back open and repurpose his grand scheme around a different conspiracy theory.
Hitler's symmetry with the Masked Circle becomes brilliant when you think about it. Hitler and Jun are basically the same: they both want humanity to ascend to an ideal state by questionable methods, but neither can be called a Well-Intentioned Extremist because their "ultimate race" doesn't exist at the end. Adding to that is the fact that they both took an idea, spread it to everyone in the place they believed would be the ultimate nation, and built their empire on it: Jun spread the Joker Curse around Sumaru City (home of Xibalba), while Hitler spread anti-Semitism around Germany (the One Empire/Ein Reich). However, while Hitler hated most of humanity but liked a select few, Jun likes humanity in general but doesn't care about killing a few individual humans.