The Film is an Inward Con (Spoilers)

I know I am 5 years late to this conversation but after reading through this forum I found no one mentioned the possibility of a different interoperation to the reality of the film itself. Now I know that what I am about to suggest will cause eyes to roll but hang on for a brief moment for me to explain myself.

I believe that Stephen and Bang Bang don't really exist.

Bloom, a character who we only know by his last name unlike his brother, was an orphan that we learn was sexually molested by one of his caretakers. I believe he conjures up Stephen to deal with the series of unfortunate events he calls his childhood. After spending his life walking around aimlessly being a confidence man he one day decides he can't do it anymore, thus begins the journey to expel his protecter, Stephen. Bang Bang herself one day just appears in there life, when they needed her and just as easily vanishes when she has served her purpose.

I like to think of Bloom, Stephen and Bang Bang as Ego, Super Ego and Id.
http://tvtropes.org/pmwiki/pmwiki.php/UsefulNotes/IdSuperegoAndEgo

Stephen protects Bloom and gives him purpose, Bang Bang blows stuff up. But neither have a purpose besides serving Bloom. Nether express an interest in what they want out of life, nor have a sex drive, unlike Bloom and Penelope.

Penelope. There is a reason why meeting Penelope is significant to Bloom besides love: Penelope is burdened the same way Bloom is. While having diner Penelope and Bloom have an interesting conversation about her childhood.

Penelope to Bloom: "This was a story about a girl who could find infinite beauty in anything, any little thing, and even love the person she was trapped with. And I told myself this story until it became true. Now, did doing this help me escape a wasted life? Or did it blind me so I didn't want to escape it? I don't know, but either way I was the one telling my own story..."

While she delivers this dialogue to Bloom we only see Penelope through a MIRROR. I believe the mirror is showing us that this is in fact about Bloom. -"And I told myself this story until it became true. Or did it blind me so I didn't want to escape it? I don't know, but either way I was the one telling my own story." Bloom is in fact the one making up the stories not Stephen. Stephen doesn't exist.

A lot of people here have make the argument that Bloom wants to live an "Unwritten life" but that isn't true, at least not in the final moments of the film. Penelope and Bloom both leave behind their baggage. Penelope does so by blowing up her childhood home (this isn't literal, this is symbolic) and Bloom does so by leaving Stephen. In leaving behind their baggage they decide to WRITE a new life together.

Penelope Stamp: "He said to me, there's no such thing as an unwritten life. Just a badly written one."
Bloom: "Oh God."
Penelope Stamp: "I love you Bloom. You know what we're gonna do? We're gonna live. Like we're telling the best story in the whole world."

In fact, as a mirroring image to the introduction, Stephen goes to die in the cave now being represented by a theatre. The theatre itself is symbolic as this moment is not real, its a stage to play out the final act of Blooms childhood story, the story of his imaginary brother and protector Stephen. Stephen whose only purpose in life is to create stories for Bloom to live out.

Just like the light in the cave Bloom sees Stephen as real because he has fallen for the con, the light in the dark cave of his life is Stephen whom leads him through the dark. Bloom has chased that light in cave until the moment the blood on his body turns brown, shortly after being tricked into leaving the theatre.

The childhood story of the Bloom brothers also brings up some interesting dialogue.

Young Stephen: "Bloom, we've hit a one hat town."
Narrator: One theater. One car wash. One café. One park. One cat. Which, through some mishap, had one leg.

The relentless focus on the concept of "One" may be in reference to the fact that there is only one Bloom brother.

Bloom: "Trying to get something real by telling yourself stories is a trap."
Diamond Dog: "Our hero must face the Minotaur before he escapes the maze."

The definition of Minotaur: a creature who was half man and half bull. Confined in Crete in a labyrinth made by Daedalus and fed on human flesh, it was eventually slain by Theseus.

Before Bloom can escape his maze he had to let go of the life he created. Bloom, whom is shown to be sexually repressed (from being molested) struggles to be intimate with Penelope, this is shown on the train when she expresses herself sexually as he runs away.

Stephen resigns when Bloom is ready to love.