Wild Mass Guesses for the Kirby: Right Back at Ya! canon. Quick link to Kirby's Return to Dream Land's WMG page and the main Kirby WMG page.
Kirby is a demon beastIn episode 4, it's revealed that Nightmare once made a demon beast that rebelled against him. Because of Kirby's extraterrestrial origin and his instinctive, in-born Power Copying ability, this is more than likely to be true. Or, alternatively...
Meta Knight is a demon beastThe same scene in episode 4 depicting Nightmare's failed creation also shows it holding a sword, adding a link to Meta Knight. Also, the pilot episode shows him with his wings, and he appears to be a monster summoned by Nightmare.
Nightmare wants to be a Big Eater...But because he lacks a true body, he can't. He vents his frustration by creating bizarre food-based (and edible) demon beasts. And if Kirby is truly Nightmare's creation, then this could explain his appetite too. Sort of a fantasy-fulfillment thing.
Sir Arthur is the green Kirby from Kirby and The Amazing Mirror sent back in time.He matches the coloration...
Had the series continued past Nightmare's defeat, it would have dealt with Dark MatterWith Nightmare being defeated, the only antagonistic force in the games by the time series ended who could have matched Nightmare's scale was Dark Matter. Being capable of both creating monsters and possessing characters, DM would have been the best fit for an antagonist to carry the series after Nightmare.
If the series went past Nightmare's defeat, Dedede would have been less antagonistic even though he would still have a rivalry with KirbyBy the last episode, Dedede has finally turned against Nightmare Enterprises with Nightmare himself being destroyed. The series did have nods to his characterization in the games (such as how he arranged for that playground to be built). With no more monsters to summon and having finally sided with the inhabitants of Dreamland, Dedede would have been less of an antagonist (if he didn't stop being an antagonist) and would have fought alongside Kirby against assorted threats to Dreamland (although he still would have his rivalry with Kirby).