Because it seems odd to me that Harry would have complete amnesia over who he was if the whole game was just in Cheryl's mind, who knew a lot about him but refused to come to terms with it until the end of the game.
Cheryl never knew who her father was. That's the whole point of the game.
Also I think Cybil is a good indication that it isn't all fake. She seemed to be pretty real, with her realistic change in treatment to Harry once she started to delve deeper. Plus it seemed like the Otherworld purposely stopped Cybil from telling Harry the truth, the town's way into trying to fulfill Cheryl's wish of staying in her fantasies of Harry being a perfect father.
I don't think Cybil is real. She freezes more than any other character, and freezing is reserved solely for unreal characters, it seems, and if she's real, then there's something seriously wrong with her because she keeps changing her memories or demeanor, and keeps showing up at unbelievably contrived moments, and is apparently defined by Cheryl's psychology anyway.
The old couple and the bridge operator I think are also real, they're just too mundane and unrelated to Cheryl's plight to have any purpose in Cheryl thinking them up.
Both of them change personalities, dialogue, and in the Stewart's case, occupations and possibly daughter name depending on the psych profile. Not only that, but the Stewarts seem to represent the fact that Cheryl doesn't live there anymore, and Jimmy Capra seems to just be a contrivance to give Harry the solution to a puzzle.
Lisa and Michelle are possible manifestations
Change that to definitely. Both should be 18 years older than they should be, since they're based on girls Harry had sex with. Not only that, but both change to the psych profile, both of them act extremely peculiar, and both whip out information they have absolutely no business knowing whatsoever, such as Lisa asking about Cheryl's hobbies before Harry even mentioning he had a daughter.
Again, you have to consider what Delusion-Harry's psychological function would be, and then he makes a lot more (real-world) sense than being a being manifested by a supernatural town.
His function is the same regardless.
Think logically about some of the things she does: at one point, she drags him to a hospital, changes his clothes herself, and wheels him through a pretty much empty hospital. And yet she clearly doesn't seem to think anything strange is happening with the town: only with Harry.
Not to mention the sheer impossibility of Cybil finding him then, and every other time after the Stewart's house incident, without any sort of lead almost immediately when he gets there. No real cop could ever do that. So the Stewarts call her the first time she runs up to Harry, fine. How did she know he was at the lake after the Bridge puzzle? How did she find him in Lisa's apartment? How the hell did she find him by Dr. K's office? All three times, she found him less than a minute after he got there himself. I don't care how you argue it, that's impossible.