Jenny's non-existence and the ramifications on Thursday's sanity from First Among Sequels, the fifth Thursday Next book. Thurday apparently has breakdowns at least several times a day when she realizes that her youngest daughter isn't real. Imagine how muich more this must have been when Jenny was first "born"— as the mother of a young child, Thursday must have expected to see her daughter constantly. Having your infant unable to be found would certainly lead to Landen having to explain Jenny's non-existence a lot, leading to the fridge horror that when Jenny was an "infant", Thursday was probably in near-continuous mental breakdown. Not only would this suck for Thursday, but what about Landen and her kids? Friday was only around six at the time; and Tuesday would have been barely two.
It could be that in Thursday's head, Jenny was always at the age she is now, or that Jenny just came into existence at that age. Thursday wouldn't have noticed anything strange because of the nature of the mindworm. Still pretty horrifying, though.
The Woman Who Died A Lot makes this theory unlikely. Aornis, as part of the mindworm, implanted memories of various events in Jenny's (fictional) childhood, making the fake mindworm seem even more realistic. Then the mindworm spreads to the rest of the family, so they all share these memories at various times.
If the universe was made because Thursday's father went back in time with pudding, and then time travel never existed, why does the world still exist?
The rules and mechanics of time travel in this series are inconsistent, and deliberately so. At one point, the rules change in the middle of a conversation between Thursday and her father. By design, time travel is impossible to make sense of.
Okay, so the fictional Thursday plays Thursday in the books that we read: all that time we've actually been watching Thursday5 act out the real Thursday. Now that fictional Thursday has her own book, is there another fictional Thursday who plays the first fictional Thursday in the sixth book? And since One Of Our Thursdays Is Missing is a part of the series, does fictional fictional Thursday now live with fictional Thursday?
Chances are, given the arrangement we see at the end of Well of Lost Plots, that Thursday5 plays herself, and "Real Thursday" is played by a lower-grade Generic due to her relatively minor appearance.
In "One of our Thursdays is Missing", why are the Thursday Next books located in the fantasy genre? That would be questionable even after the re-write that incorporates the book world, after all that one truly does exist. But especially before that, if Thursday's world is really the real one, her stories should just be another detective series.