So, I’ve seen a few others talk about this but I agree that all the characters could be people who used to be real people who became puppets to escape their traumatic backstories, wally was most likely the one to start it or at least first discover the fact the magic that allowed them this existence is actually evil and is likely home, maybe home is a representation of all of the characters bad pasts, or just Wally’s, like an abusive attachment, wally clearly loves home, maybe it isn’t good for him though .

Maybe it went off the air because they all got overly exposed to reality and we’re too mentally fragile to handle it, they couldn’t take it anymore, and now wally is alone, perhaps trapped by home, desperately calling (literally) for help.