Spoiler. Ultimate Insight Theory about the Lore

• The vault key to understand the Lore is its greatest inspiration: H.P. Lovecraft.

• As in the Cthulhu Mythos, there are two classes of deities in Bloodborne: the Cosmos-related ones and the Oedon-related ones.

• Oedon-related Great Ones are the Bloodborne version of the Elder Gods in Cthulhu Mythos, immortal entities less generally inimical to humanity

"the Great Ones that inhabit the nightmare are sympathetic in spirit, and often answer when called upon"

• Oedon-related Great Ones are: Moon Presence, Mergo Wet Nurse and the Amygdales. They can create and live in nightmare planes. Symbolically, they represent the tangible fears and horrors of human beings (amygdala has a primary role in the processing of emotional reactions such as fear, wet nurse represents the fear of being deprived of the offspring, Moon presence can represent the fear of the night). Oedon itself it's the greatest one among them or maybe the father of them all.

• Cosmos is the Bloodborne version of the Outer Gods in Cthulhu Mythos, (in particular Azathoth, the "blind idiot god") "The Outer Gods are "mindless blasphemies" from outside the capacity of humanity to understand. Most of the time, they are asleep and/or insane (VACUOUS)" (from Lovecraft wiki). Cosmos-related Great Ones are: Ebrietas, Rom, Kos and Great Emissary. The Kins in the game are Cosmos "blessed" creatures. They are still "mindless blasphemies" but without the power of a Great One. Even Cosmos Great Ones can't access the "Outer Space" in which Cosmos lives

"The sky and the Cosmos are one" means Cosmos is so beyond our reach that can be considered the universe itself as Azathoth in Lovecraft

• To be blessed by Comsos that is making contact with its essence you have to develop inner eyes. Cosmos doesn't make children and doesn't impregnate human beings. As I said, it can be considered a true Lovecraft Outer God.

• While Laurence way through evolution is by the blood of Oedon, the "Elder God" version of Bloodborne, a less cosmic entity and more human related god which impregnated Yharnam, Iosefka and Arianna and who seeks for a children.

• I think that the Formless Oedon is indeed the Nightmarish Bloodmoon Night upon Yharnam (in this "form/influence" it impregnates some women with the right blood) which is indeed a "nightmare"/"illusion" partially covered by Rom involuntary influence.

• Being horror entities, the old blood, the blood of Oedon and Oedon-related Great Ones, unleashes humans' beast side and the ministration of the Church led to the beast scourge.

• Paleblood is anemia, Paleblood hunters are chosen because they don't succumb to the beast side and the blood ministration is necessary to deal with the beasts and the other hunters. Our character came to Yharnam to find a cure for his anemia

"Ah...Paleblood, yes. Well you've come to the right place. Yharnam is the home of blood ministration..."

• But, as we know reading a note written by Gehrman for himself "Seek the Paleblood to transcend the hunt", Gehrman lures people with anemia to make them immortal hunters and thus serve Moon Presence goal. Elieen and Djura probably suffered from anemia too.

• Judging from the first ending and the numerous tombs in the Dream, the Paleblood hunter serves as a "reset" (sort of like Neo in Matrix 2 that must reset the source code) for the Night of Yharnam. Oedon influence is not defeated once and for all, but the cycle will repeat itself forever.

• What is Moon Presence goal? If we assume that Great Ones that inhabit the nightmare are simply sympathetic in spirit, and often answer when called upon, we can argue that it is beckoned by Laurence despair for the scourge and it has no goal at all. If we eat the chords, than it treats us as we wanted to take possession of its plane (the hunter dream) and we kill it to become the new one.

• If we instead assume that all Oedon-related Great Ones are nothing but physical and formed avatars or eldritch manifestations of Oedon itself (the blood moon make women impregnated by Oedon and Moon Presence can be associated with the Blood Moon itself), then we can assume that the Moon Presence hidden agenda is to protract the Church blood ministration and thus Oedon influence upon human beings by repressing just enough the beast scourge in order to avoid the total collapse of the Church. So that the Nightmerish Night of Yharnam will last forever, with brief sunrises when a Paleblood finishes his duty.

• Who is the Doll? It is for sure created by Gehrman but I think what gives her life is a pure benevolent deity that we don’t know and represents symbolically the purest part of our inner nature. In this sense, she closes the circle: Cosmos represents the ultimate evolution and knowledge goal, Oedon and the other great ones related represent the feral subconscious and our animal instincts and fears and the doll represents the purest part of the human nature.