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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.
K-On!
Yui is Kyon's little sister
This is very, very obvious in the flashback scenes. Just look at her! On the bright side, at least now we know where Haruhi's friend got his name from.
  • The problem with this is the existence of Yui's younger sister Ui. She is one year younger than Yui so she would have been about 9 or 10 during the events of the Suzumiya Haruhi novels. Kyon never mentions her though.
    • A wizard did it.
      • Since Haruhi is shown to love little kids, it would have made more sense if she would have wished Ui into existence right away.
  • Episode 13 showed a Zeppelin in the sky around the 8:25 mark, right after Yui buys a steamed meat bun. Being Genre Savvy, Haruhi knows that Zeppelins signify alternate universes. The implications are obvious, that she's made minor changes (Hah! Music pun!) in the world to make it more interesting.
    • Kyon's name is now Gitah. That's why she won't play using her teeth. It'd just be WRONG.

Yui has spinocerebellar ataxia type-13
Lack of coordination? Check. Involuntary eye movements? Check. Dysarthria? Check. Mental retardation? Check.
  • Since when do mentally retarded people get perfect test scores in high school? Dysarthria is out too, since her speech is just fine. She also has sufficient muscle control to play a guitar. She's just inattentive and clumsy, but nothing on a pathological scale.

All the band's girls are Vocaloids/Instrument Simulators of some sort
It would make some sense, if we think about it.
  • How?
    • Don't ask. It's WMG, everything makes sense at some point. I'd say everyone in the entire world is a robot, but...
  • The theory would almost seem plausible if it weren't for the fact that they sound like actual humans, while the Vocaloids have a weird Uncanny Valley effect to their voices.
  • Rather, they are the templates for upcoming vocaloid voicefonts.
  • They're Mark II Vocaloids, more capable of infiltration of rock bands for purposes of assimilating potential future rebels against the coming Moe invaders. At this point, only dogs and music critics can out them.

The events in the series are pre-recession
The after-school job that the girls get as traffic takers is ridiculously easy, and would be filled even before reaching the classified section. Mugi's the daughter of the president of a guitar company AND her family has a large villa over the beach, where even her family members need appointments to get in! Yui's parents seem to travel around the world... ALL THE TIME. Also, the girls spend tons of money during their after-school time just buying more food and doing other activities instead of actually practicing.
  • The series takes place somewhere between 2006 and 2009. The headphones Mio wears in episode 5 are AKG K701s. AKG released the model in 2006. So it's very possible that it takes place before the current recession, but it certainly does not take place before the Japanese economic crash in the 90s (the cast's cell phones are more than enough proof of that). It's slightly less likely that it actually did take place in 2006 as the K701s were going for $400 US at the time. It's more likely that it happens in 2007-2008; around that time, Internet prices of the K701s were down to a much more reasonable ~$250 US.
    • Yes, it would apply to the current recession obviously- a lot more would be different than just the cel phones if it were to take place in the 90's! Besides, with the prices so high, that would compel the characters to bargain all the more for their equipment!

Yui is somehow related to Hayate Yagami.
First thought on seeing her was, "Isn't that Hayate?" So Yeah. Not much meat to go on, but still.
  • Well, they seem to share a love for dressing up and have that hair pin right there. Alternatively,

Yui is actually Hayate from an AU where the Book of Darkness doesn't exist.
In this universe, the Book of Darkness never existed, meaning that Vita, Signum, and the other knights don't either. This means that Nanoha and Fate were never forced to battle with them. As such, she never met the two. Also, in this universe, Hayate was mysteriously renamed Yui and had a sister. Also, Section 6 is now screwed due to the lack of a captain and powerful artillery support.

Azusa is Kooh from Pangya all grown up.
Kooh finally gave up looking for her dad and got bored of being a... golfing pirate. Plus, the hair! The nekomimi!

The girls are all the girls from Lucky Star in a new reality.
Just as Konata was once Haruhi Suzumiya before she destroyed reality and remade herself into a (somewhat) normal otaku girl, she eventually grew bored again and remade herself as Ritsu, Kagami as Mio, Tsukasa as Yui, Miyuki as Mugi, Kuroi as Sawako-sensei, and Yutaka as Azusa. Though she actually split Kagami's mind, giving Azusa the dere-dere and Mio the tsun-tsun.

Yui and Ui are twins
As You Know, Yui and Ui are actually pretty similar to each other, to the extent that Ui can easily pass for her sister just by letting her hair down. Due to how school years work in Japan, everybody born before the date in which a school year begins can enroll; whoever is born on or after that date has to wait for the next school year. Twins aren't born at the same time, there's a delay between the two births, which can sometimes last a couple of hours. Ergo: Yui is the eldest twin, born just before midnight; Ui is the youngest twin, born just after midnight. Owing to what has been explained above, Yui has been enrolled in school one year earlier than her sister, despite their age difference being at most a couple of hours.
  • They also exhibit the extreme closeness that is typical for most identical twins.
  • Perhaps when she was little, Ui was very sick and missed a large part of one school year, causing her to fall back a grade. Hey, it still happens sometimes even in these days of modern medicine.

The series is a metaphorical satire of the decadence of rock'n'roll.
Cakes = drugs.
  • Win.
    • "Mugi-chan, could I have some more *ahem* sugar with my tea?"
      • "Just follow me to the back, and I'll hook you up."
      • The first one is always free.