According to the databook (Persona 3 club book: world guide), Nyx is responsible for creating the Collective Unconscious that is basically the origin of all that is supernatural of the verse, people in antiquity in fear of death (Nyx) began to worship gods of their imaginations and these gods became real within the sea of souls and later gained the ability to manifest physically in the world through Persona-users, in other words Nyx is indirectly responsible for giving rise to religions, gods and other supernatural entities (this must include Nyarlathotep , Philemon and Yaldabaoth). "ah, a very good question. You see, when it originally only were hundreds or thousands of people wishing for death, the negative effect this had on the seal were only very small. After all, there are many more people than just that in the world, aren't there? The combined death-wish of these few thousand people did not suffice to break Nyx' binds. Moreover, people continued to give birth to abstract existences within the Collective Unconscious, which furthered the human evolution even more. To make it simple, this is what gave birth to mythology and religion. Certainly, you know many stories of malevolent deities or demons being defeated by benevolent deities of virtues, which protect our world? These existences we call "gods" protect the balance in the suppressed, unconscious parts of our psyche. Their providence plays an important role in strengthening the seal against Nyx." the guidebook also mentions other interesting things like.
All shadow games are a part of Nyx, including the inner Shadow of people, so Nyx exists within everyone and any thought about "death" makes Nyx strengthen within the person.
"Ikutsuki: On the previous page, I explained how Nyx was suppressed in the depths of the Collective Unconscious of all living beings, correct? In other words, Nyx is located in the deepest depths of the unconscious of the psyche of every single living being. - Now, I want you to picture the following: Assume that a certain living being, let us say, Junpei Iori-kun, for example, ends up thinking the following: "Oh man, I totally screwed up that test again~! How am I 'spossed to keep on living as such a loser?" The moment he has such thoughts on his mind, his unconscious would momentarily cease to resist Nyx. Now, what do you suppose would happen in such a case?
Aigis: If this were to happen, then the "Nyx" in Junpei-san's heart would surely emerge, even if just for a moment.
Ikutsuki: Exactly. The part of him that is "Nyx" would emerge from his unconscious into his conscious mind. These fragments of Nyx' psyche resting in our own are what Shadows truly are."
> shadow can not interact with the physical world being the only way to do this is to create their own space-time with different laws of time and space (Dark hour, midnight channel, mementos, etc.)
"Ikutsuki: es. Once a certain amount of Shadows has fused into a sufficiently powerful Shadow, it becomes able to access this potential. This power allows Shadows to manipulate space-time. As I have already explained to you earlier, Shadows gather in order to unite and return Nyx to power. However, unlike living beings, Shadows are existences of pure thought and emotion and do not possess a physical body. Thus, they usually cannot move or act freely in our world. In accordance with this, they need to create a sort of space outside of time, independent of the usual laws of space-time, in which, instead of human beings, Shadows can move freely. This can be accomplished with their ability to manipulate space-time.
Junpei: And that's the Dark Hour, huh?
Ikutsuki: Exactly! Created by the Shadow's latent abilities, the Dark Hour is a special state of space and time, that can not be interfered with by the usual laws of time and space. In return, this also means that the Shadows are unable to interfere with the living beings existing within normal space-time."
> Persona-users' abilities come from shadows
> Persona-users need to manipulate the space-time to enter the dimensions of the shadows.
"Aigis: In other words, the one ones who adapt, the ones with the "Potential", are those who are able to use the Shadow's power to time-space-manipulation for themselves?"
https://ask-persona.tumblr.com/post/99861586798/persona-3-club-book-world-guide-qa-translation/amp
https://ask-persona.tumblr.com/post/100095369103/persona-3-club-book-world-guide-qa-translation/amp