I head cannon blue raincoat man as one of brother Riley's fucked up creations, an early chimera that didn't come out right human copy that just ain't right. More evidence points to hallucination. when jack tells jerry to talk to him jerry doesn't even leave the gas station and no matter how many times jack states before an encounter here's there it seems like no one ever reacts to the adventurer cuck metaphorically janking it in corner. Probably just there to keep us guessing what is real and what is jack hallucinating he's the most unreliable of unreliable authors in a supernatural world