Fridge Brilliance:

The "Knife" effect, which can be used to kill NPCs, is found in the dark world.
Madotsuki can't wake herself up while she has one of the two effects active where she doesn't have arms.
The drinks you get from using your money you got from killing various NPCs gives you HP.
At the ending screen, two jellyfish appear onscreen. This may make no sense whatsoever, until you get into a theory that says that the whole game was a dream. Madotsuki simply woke up by jumping off the balcony.
Why do the jellyfish make a bell chime when you interact with them? Because the "head" of a jellyfish is called a bell.
Why does Madotsuki talk so much to herself in the manga? Well, being locked in a tiny room for who knows how long might make you more than a bit lonely. She's making up for not hearing other people's voices.
Based on the view from Madotsuki's balcony, it seems like the passage of time doesn't obey any rules. It's possible to go to sleep in the middle of the day, spend only a second in the dream world, and wake up to see it's the middle of the night. This is possible because of the way dreams work in Real Life. Large parts of dreams are often forgotten about immediately upon waking up, making an entire night feel like it lasted only a few minutes.

Fridge Horror:

The game's very premise alone raises a lot of worrying questions without even doing much. Anyone with recurring dreams that are as graphic and surreal as Madotsuki's would either be deeply traumatized and/or not sane. It's telling that so many of the WMGs about her are actually plausible. To make it all worse, Madotsuki is implied to be a child...
When interacting with Madotsuki's door in the real world, she flatly refuses to open it, confining the entire game to her room and balcony. Whatever's out there, she'd rather spend the rest of her life traversing her lucid nightmares than confront it, in the most literal way possible.