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Narrative
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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.
Yui has spinocerebellar ataxia type-13
Lack of coordination? Check. Involuntary eye movements? Check. Dysarthria? Check. Mental retardation? Check.
All the band's girls are Vocaloids/Instrument Simulators of some sort
It would make some sense, if we think about it.
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.
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.
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.
The series is a metaphorical satire of the decadence of rock'n'roll.
Cakes = drugs.
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