Plenty good theories on how the story will unfold now after that cliffhanger. However, I have a few thoughts on that as well..
With all the talk from Bardot of how people previously thought Eternum was the afterlife, maybe MC actually dies, wakes up as an NPC in Eternum but due to all the bleeding case he is experiencing, eventually learns to come back "from the dead" to the real world. I mean his magic powers translating into the real world would be the most obvious way how he survives that gunshot wound but somehow I get the feeling from the last shot of MC how he lays there in the alley all alone that he actually dies.
What do you think?