For a while they did try to leave it up to the reader, but other stories have made it fairly clear that Khonsu exists as the god of the moon and has been capable of rising Specter from the dead (at least twice) or allowing him to recover extra fast from crippling injury at times. The god even helped him briefly register with the SHRA. Marc is crazy, but he knows "his" god is real...real enough to encourage him to be far nastier than he usually wants to be to criminals.