Alpha Protocol/WMG

Steven Heck isn't human
He's a Malkavian. Would certainly explain his... personality quirks. And his fighting prowess. And his vast knowledge of secrets both real and imaginary.
 * And it would also explain why he's only ever seen outside at night. Think you might be on to something there....
 * You'll see him in the daytime if he's your handler for the final mission; he'll get on the boat with Mike, in the daylight. Still, since it doesn't have to happen...
 * He's not JUST Malkavian, he's THE Malkavian PC from Bloodlines, seeing as this game is a spiritual successor to that.
 * Maybe he's found Golconda, and one of the benefits he's gotten is immunity to the sun? Think about this for a minute: he's what happens when a Malkavian reaches total spiritual enlightenment and inner peace.
 * Far less awesome then him being the Malkavian from Bloodlines, but he could also be a Marauder. it would explain his super-powered fighting style and the fact that he can pull off all the totally crazy stuff he does.

G22 is an offshoot of an earlier iteration of Alpha Protocol
Really, this hardly even qualifies as WMG, as it's just short of outright stated by the game, but there's no real way of being sure. Alternately...
 * And Albatross is kind of The Last DJ, who was once in same situation as Thorton. He seems to understand Mike very well and as they say, history repeats itself...

G22 isn't affiliated with Alpha Protocol at all...
But they want people to think they are, as a facet of some sort of massive Xanatos Gambit that will become clear in the second game.
 * We'll never know, now that it's been announced there will be no sequels.
 * ( Sega announced it. Obsidian is silent on the subject and they own the rights. Hope Spot?
 * Obsidian's CEO has said that, though Obsidian isn't making AP 2 he would happily make it, so there is a fair chance that it'll come, if later rather than sooner.

Albatross is Sis' father
...well, it's less creepy than the other possibility for how concerned with her well-being Albatross is. It might also explain why he allows someone he's so concerned about into the espionage world; it's the only way he can keep his job and his family.
 * This is strongly hinted at in an optional dialogue choice: Mike observes that Sis's locket references a story in which parents sacrifice their own children to buy safety for their village. Sis clearly wishes she could speak up, but Albatross makes it clear he doesn't like this line of questioning one bit.
 * Personally, I reckon she's his younger sister. I mean... Sis as a code name? Lots of places and people abbreviate sister to sis. There'd be quite a big age gap, but it would kind of fit with the locket story in several ways, if they were siblings who shared a background and experiences he doesn't want to go into, by virtue of having been much older than her and understanding more about it. If G22 IS a former iteration of Alpha Protocol and Albatross is a former agent used the way Mike was, isn't that kind of like a "parent" (superiors/government/etc) abandoning it's children in favour of it's own needs?

Marburg has a crush on Mike
If Madison is your handler during the mission to Marburg's villa, she all but spells out that Marburg is Invisible to Gaydar. What she doesn't know is that Marburg is also a Depraved Homosexual, and Marburg puts Mike through the Sadistic Choice because he's jealous. If the player takes the necessary steps to prompt Marburg to stay, fight and die in Rome, it works because Mike's insults are enough to make it clear that he's not good enough to have a chance at getting into Mike's pants. Playing it the opposite way and turning Marburg, or at least parting with him on psuedo-friendly terms, gives him enough time and space to decide pursuing Mike, who is both half his age and doesn't seem interested, would be unprofessional and unbecoming, which are both things Marburg likes to avoid.
 * Is this even WMG? Sure, you have to listen to everything in the game carefully, but still - I thought that was clear.

Alpha Protocol shares a universe with Modern Warfare
Halbech Ending: Boy howdy did Mike make a mistake forgetting that "Halbech is going to cause a real war" bit...
 * Mike's idea was probably that his inhibition of the Halbech operations in Rome, Moscow and Taipei would keep things from going into actual war, at least with Mike as Chief of Security for Halbech and therefore in a position to relatively autonomously handle operations and influence Halbech (consider that for the Halbech ending to be available, Leland has to like you, so he'd at least listen to what you have to say). It might have been wrong, but there is another problem with this theory... the main conflict being drummed up was China vs the US, Russia was more of a distribution hub than an actual part of the planned cold war.

Alpha Protocol shares a universe with Army of Two
Dalton secretly worked for Halbech; the Army's casualties and the hit on Senator Whitehorse were for Halbech's benefit. Likewise, Halbech funds the 40th Day attack on Shanghai. Both are Halbech destabilization plots Mike never got intel on and thus didn't stop before they were set in motion.

Every single one of Steven Heck's theories is actually true
Steven really is a CIA agent, but he has become insane after discovering the truth about everything. The CIA considered eliminating him, but decided to 're-assign' him to a 'super-secret division' because he's somehow still effective in furthering the CIA's agenda. Besides, nobody believes him due to his personality and lack of conclusive evidence, so they figure all those secrets are still safe.
 * Hilariously, this is confirmed in-game to some extent: at one point he emails you with a wild theory about the government creating crises to manipulate the prices of arbitrary commodities like strawberries just to see if they can do it. If you spend a lot of time digging up info on Parker, you learn that one of his research projects...was doing exactly this. Parker will actually mention this when you talk to him at the beginning if the right dialog options are taken, but it's easy to miss even if he says it.

G22 is front of Ancient Conspiracy
My guess is Illuminati. Albatross once mentions that G22 has agenda like any government. They don't seem as governmental organization because they are widely considered terrorists. So they work for some Ancient Conspiracy aiming to manipulate and control world governments from shadows. It could even make sense that this way Alpha Protocol is set in the same universe as Deus Ex!
 * Steven Heck knows about Majestic 12; that's not as big a leap as you'd think...
 * No no, G22 is the modern face of the Assassin Order.
 * Or is the predecessor to Cerberus.

The other NPCs are meant to reflect various future fates of Michael Thorton
Many of the major named NPCs in the game are meant to reflect possible fates for Michael Thorton. Mina is Michael Thorton's original hope for the future before Alpha Protocol; the loyal US government operative, squeaky-clean yet still able to get their hands dirty to get the mission done. Albatross is a Michael Thorton yet to come, one who doesn't let the continued betrayal and disappointment of the espionage world wear down his ability to still have ethics and find his own causes to fight for. Marburg is the Michael Thorton who lets himself get worn down into an unfeeling, lethal automaton, a pawn of whoever will use him, a collection of skills without a soul to animate it. Scarlet is a Michael Thorton who goes the Marburg route but with more self-respect, a freelance operative that works strictly for the money but picks and chooses her own life and her own allies. SIE is a Michael Thorton who gives up on planning for the future as he accepts that he has no future, just unrestrained forward momentum charging from firefight to firefight, living only for the moment and enjoying the rush, a life of nonstop motion until it all suddenly stops with a final bullet in the head. Leland is... hell, the game explicitly spells it out with the ending where. And Steven Heck is... well, he's Steven Heck.
 * Steven Heck is what would happen if Thorton went insane due to all the things he has to deal with and has happened to him - completely crazy, but Crazy Awesome.
 * How about this: Marburg is Future Professional Thorton, Scarlet is Future Suave Thorton, and SIE is Future Aggressive Thorton.

Obsidian will get the Burn Notice license

 * And bang, Spiritual Sequel with the same gameplay and a spy named Michael.

SecuritySift is run by a cell of G22
Which goes a long way to explaining how they know everything about everyone. The warehouse in Taipei was actually run by a different cell of G22, and they didn't realize who they were helping Mike go after until partway through the mission, and notified Albatross.

Senator Darcy would have been a villain in the sequel
Leland learned of the existence of Alpha Protocol from and then used a unspecified government connection to get in contact with it. Senator Darcy's son is an Alpha Protocol agent. Sean Darcy describes his father as "selling himself out" to become president. In one of the endings, And in any ending where, he uses it to score political points. Furthermore, My guess is that a sequel would have seen Senator Darcy become a President Evil seeking vengeance against Mike.

Obsidian will make a Spiritual Successor of Alpha Protocol with the Serial Numbers Filed Off
Taking advantage of Alpha Protocol's method of being replaced when compromised and star a new top secret intelligence agency within the US Government. While no characters will return (at least named), but never contradict AP's story.

SIE is pregnant.
If SIE "rescued" Micheal in the medical bay, she got a little Someone to Remember Him By from Micheal.

If Mike Leaves the Island via Boat, 3 Seconds after The End Scene, the Boat Hits a Mine
Seriously, with all the precautions in place, underwater mines would not be out of place.

One day, Play Boy Mike will have SIE, Scarelt, Madison and Mina together with him all at once.

 * And it will be AWESOME
 * And it will be World War 3
 * And it will be Mike's Funeral.

In Some Paths, Sis got to see SIE have sex with Mike.

 * And the shock will be enough to cure her muteness.

The "No One Knows Where the Grey Box Is" is a lie. The OPERATIVES, don't know, but other personel do.

 * Mainly to make sure that if captured out in the field, the operative can't compramise Grey Box. It would damn inconvinient to drug everyone coming to and from such a large facility.