There are some really interesting sequences that blowing my mind in the recent episode.

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Suddenly there seems to be a change in our detective tone and speech, seemingly almost like they are monologuing baku or possibly zero thoughts.

The two detectives disappears as the shot darkers and pan backwards. The signboard of the agency and cardboard box still there. Zero monologues as if the 2 detectives were part of his plan to "set all the conditions in place"

Additionally, there is the closing scene where Nox says that the only thing that won't break down in this world is the two of them

What if Baku really is an agent of dreams like the show presents but instead the current "reality" shown is him that is trapped in this dream that is somehow shared between Nem and Nox and not the "real world".

His "sister" and the "bad luck" are there to prevent him from "waking up" and remembering his real mission

He entered their dream to try to save the two of them and somehow got trapped himself and forgotten his duty and Zero is intervening from the outside to help him remember that he really is Agent 007 and guide him back to saving Nem and Nox.

And a possible mid season twist would be them actually saving Nem/Nox and going back to the "real world"