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This is a "Wild Mass Guess" entry, where we pull out all the sanity stops on theorizing. The regular entry on this topic is elsewhere. Please see this programme note.
Paranoia Agent
Tsukiko is what happened when Ayumu Kasuga failed to make any friends.

In the universe of Paranoia Agent, Ayumu never entered the plot of Azumanga Daioh. And thus instead of growing up to be Osaka and having some very close friends, she became very lonely and changed her name to Tsukiko Sagi (as sort of a pseudonym for her design career).

Chiyo-chichi was able to appear to both Sakaki and Osaka without ever mentioning him to each other because Osaka has reality warping capabilities that are very weak. In Paranoia Agent, her reality warping powers are so strong that she makes Maromi come to life and makes Shounen Bat a physical entity.

That's why Tsukiko Sagi looks so disturbingly similar to Osaka and the reason why Osaka is such a Nightmare Fuel Station Attendant.

Osaka: And don't you worry. You won't find any dead cats or anything in here, either!

Paranoia Agent takes place in the same world as Candyman
a world where an urban legend can become real if people believe in it hard enough? sounds an awful lot like Candyman to me, just set in Tokyo instead of Chicago
  • Alternately...

Paranoia Agent Takes place in the same world as, or an alternate timeline of, Persona 2
Urban legends coming true (after all, what is an urban legend but a mass rumor?), mysterious deaths, Japan... All that's missing is the demons/personas, rumormongers, and an all-powerful corporation.

Tsukiko Sagi is a Waste Lock.
Her lock just happens to be Little Slugger himself, a very bad choice, as he is a completely autonomous entity. He groes stronger as the fear in the city grows unchecked because he feeds on it, in a similar way to the wall-beast. Maromi is a version of Psychodoughboy, a servant of Little Slugger, encouraging Tsukiko to distract herself from taking responsibility. When she finally does, Little Slugger is hurled into oblivion.

Little Slugger is a creature similar to Slendy.
He's a tulpa, powered by a single person's lie.
  • Hell, much more than that - they also both are enigmatic figures that either stand menacingly or attack, have Offscreen Teleportation, really the early Slender Man stuff in general is reminiscent of Paranoia Agent.

Little Slugger and Maromi are the same being.
They're both different sides to the same coin. Both of them are entities that represent escapism. Maromi represents fantasy as an escape and Lil' Slugger represents death as an escape. As their creator further seperated from reality, they both became more powerful, as more and more people in the city became stressed and more needed an escape, inadvertently powering both aspects of the entity by buying the Maromi toys and fearing Slugger.
  • Maromi represents innocence ("I didn't know!") and Little Slugger represents transfer of blame ("Someone else did it/My hands were tied.")
    • To be fair the show pretty much states this outright. Although it's unclear to the viewer in the first episode whether or not Sagi is schizophrenic, she believes Maromi to still be with her. It's Maromi who brings up Shounen Bat after the initial "attack" as a way for Sagi to escape the responsibility for breaking her own ankle to escape the pressures at work, the same way she escaped the responsibility for what really happened to her pet. Maromi and Shounen Bat are evenly matched in size and power in the last episode until Maniwa states that Sagi is responsibile for her dog's death, at which point they merge, so on some level they're both the same defense mechanism for Sagi and therefore likely the same being.

Tsukiko, Chief Ikari, and Maniwa are Gigalomaniacs.
Lil'Slugger, Maromi, the alternate worlds and the flood of black sludge are their Real Booted delusions.

Lil'Slugger is Naota Nandaba's evil twin.
Both wear the same clothing and have been shown to wield a baseball bat.

The old man realises that they’re in an anime series and Go Mad from the Revelation (or rather, go madder).
See how the old man writes down his conclusions regarding what will happen next in his ‘calculations’? Notice that the first thing he concludes and is shocked to discover starts with アニ (‘ani’). The 二 (‘ni’) part looks somewhat like an equal mark, but he never completes the equation. In the end, neither does Maniwa.
Paradise KissWMG/Anime & MangaPerfect Blue

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