It's unclear how the structure could impact the subsequent 12 episodes. Are Shelby and Matt unreliable narrators? Could the "real" married couple and the "fake" married couple eventually cross paths? Are Shelby and Matt being held against their will in a TV studio, forced to deliver dry talking head interviews? After the previous five seasons of AHS, we'll believe pretty much anything.
Earlier this season, spy photos from the American Horror Story set leaked possible connections to the legendary Roanoke colony disappearance and the 1960s Manson family murders. We checked one of those boxes in the premiere, though indirectly: Kathy Bates briefly appears in period costuming, as the woman who first thrusts TV Shelby's head underwater, then again as the victim of TV Shelby's hit-and-investigate. Does Roanoke exist in a fuzzy dimensional zone where denizens from past and present crisscross through time? That wouldn't explain the Pigman video cassette or the teeth raining from the sky, though, so enter... Charles Manson?
Let me throw this out there: aliens. American Horror Story tangoed with the abduction narrative in Asylum and individual clues embedded in this episode have my yarn board connecting the pushpin dots to extraterrestrial activity. Trailers leading up to the season teased both straight UFO encounters, crop circles, and oblong creatures with glowing eyes. Abduction is one of the kookier Roanoke conspiracy theories that still floats around the Internet 426 years later. The mutilated bodies of animals -- classic UFO trope. And maybe the "Blair Witch" stick figure imagery could be a woodsy play on the markings often left behind after alien activity (or totems of a alien-worshiping cult).
Shelby and Matt's confessionals had me thinking of one of the classic abduction tales: Barney and Betty Hill, an interracial couple who, in 1961, were allegedly lifted up into an alien spacecraft, deposited back on the ground, then found themselves suffering from aural torture and fragmented memories for weeks. It's a bit of a stretch, but Murphy and Falchuk love playing fast and loose with lore to fit the winding road of their American Horror Story narratives.