THE AMAZING DIGITAL CIRCUS THEORY:
It's heavily implied Kinger helped create the circus, but why? I think the Mendenhall tapes are an allegory or representation of what happened to Kinger, to an extent. Mendenhall wanted to protect his wife, and in the process, accidentally killed her.
I believe that Queenie was Kinger's wife in the human world and was dying of some terminal illness. As a result, Kinger was intrigued by the circus and wanted to make a place where he and his wife could live safe and happy. It's even reiterated in the beginning of this episode that they can't die by normal means. Unfortunately, that very place Kinger created was what caused his wife to go insane and 'die'/abstract.
On a similar note, Caine mentions he's a war criminal. Now, this could be 100% a throwaway line I'm overthinking. But what if there's some truth to this? The characters state multiple times living in the circus is torture. Perhaps the circus was secretly meant to be some kind of prison/torture device disguised as a video game. This is also why Kinger is a chess piece. He was played like a chess piece and, like the king piece, captured by the people REALLY making the game.
