In the Persona 3 Club Book, in a Q&A section it is stated that Nyx is in fact a living being outside reality the size of a celestial body known as "the Planet Eater," that drifted space in a dormant state. Eventually, this being collided with the Earth, and ended up entering Earth's orbit becoming its moon, but leaving its psyche on the surface. This "wave-like psyche" stood a contradiction to the already existing life on earth, which was still at a very primitive state. In order to resist this contradiction, the lifeforms on Earth had a period of evolution and developed a collective subconsciousness in which the lifeforms locked away the psyche of Nyx by suppressing its psyche with their own thoughts. Nyx's physical body entered a healing process after the colliding with the Earth from within Earth's moon. By the time Persona 3 takes place, that process was just about done. The Fall is the process in which Nyx's psyche re-enters its physical body, giving Nyx its original form back, meaning a paradox for life on Earth, and thus the end of the world.
The guidebook also makes a quick mention of the Great Will (a recurring power in the main series), stating that Gods and Demons emerge from humans as another means to defend their psyche from Nyx.
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