My personal hypothesis is that Grimace is actually a figment of Ronald McDonald's imagination as a manifestation of his guilt and grief over witnessing his twin brother Donald McDonald die in a car accident which he survived. This is coupled with the only other "Grimace" character, Uncle O'Grimacey, who is heavily Irish and is obviously pro-IRA and is a manifestation of a different type of guilt. Not survivor guilt per se, but his family in Ireland being exterminated by British paramilitary groups while he lives all the way in America.

This seems in line with the author's intention of Mac Tonight being an allegory for the crack epidemic in black neighbourhoods caused by the CIA selling cocaine to fund foreign wars and Mayor McCheese being a parody of incompetent and/or corrupt city mayors which ignored aforementioned epidemic.

This was a darker period of the book series, which is in line with the more sci-fi cosmic horror that is CosMc