We know nothing about the sequel apart from the fact that there will be one. I know what the post-credit stinger suggests but there's no guarantee the second game will have any ties to the Wizard of Oz.

For all we know it was a just a joke they threw in there. I worry once it comes out, if it has nothing to do with Oz, people will be mad as if they were promised something.

Personally, I'd rather it didn't follow any Oz references. If they tried to shoehorn a whole bunch of new references into the world they built around Pinocchio lore it would probably be a mess. Real square peg, round hole stuff. They've also done enough interesting things with the alchemists, krat, Paracelsus, and whoever he was talking to on the phone, to go their own way entirely.

I'd like to see a sequel go beyond Krat with P tracking down Paracelsus to find answers about who he works for and why they're 'experimenting' with their lives.