The End
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Is it real or only an allegory?

Is the big question mark ("The Great Unknown") a "real being" or is this only a allegory the author put just to explain his unknowledge about everyone's fate?
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I think you hit the nail right on the head. The fate of the Quagmire triplets leans on the plot point of the question mark. My opinion is that Daniel Handler wrote the books through the viewpoint that life is very often tragic and out of our control. Happiness was often visible, but always just out of their reach. It's a literary technique that symbolizes the discontent of children (as these books were written for kids). Refusing to explain the question mark serves many purposes, one of which being an example of the concept that the orphans will never know what really happened to the triplets (an example of the uncertainty of life).
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