Since Psycholonials just released by itself with no supplemental material, then all the lore that exists is just in the game and what's implied there, right?

In that case, anything else is either speculation or fanon. (Unless I'm missing something..)

While playing again I got the impression that this psychic clown society is meant to be kind of a mystery, brought to the reader in bits and pieces but never given a full explanation, sorta like Half Life's G-Man. If there was just 15 paragraphs explaining everything about them I think that would "defeat the mystery" so to speak.