Avantasia is a powerful magical collective run by Tobi who is scheming to save the world through the Power of Rock.
The Scarecrow, Aaron Blackwell, and the Misplaced Entity are all descendants of Gabriel Laymann and Anna Held.
The reason why there are no character names in Moonglow is because all the different voices are part of the protagonist who can't distinguish them from himself.
- In the "Moonglow" music video there are sections where Candice is singing but the camera's on Tobi lip syncing, implying maybe his character is responsible for all the lines but is split between himself and a female spirit. Then in the very next song, "The Raven Child", the protagonist calls himself "a weak hermaphrodite" again calling to mind the female spirit.
- The Misplaced Entity sometimes sings "I" and other times "you".
Going off of the first WMG...
Avantasia's albums are Grant Morrison-esque "Hypersigils" designed to accomplish Tobi's goals. The Wicked Trilogy feels like it was written to help Tobi find entities to help him in his own pursuits, and Moonglow's central theme is how "real" the Misplaced Entity's imagination seems to be and become.