Ultimecia's Submissions 2.0

[Ultimecia]

Persona 2 actually gives us a little bit on Nyar's background. At first he acts like a Persona to control one character, and right at the final boss we get a full explanation.

Spoiler

First he controls the main villain, the "Joker" character. And when the main party beats him, he leave the character without a Persona and assumes a human form.
In the ending, Philemon appears and it's explained that Nyar is a deity opposed to Phil himself. While Phil is passive and only watches over, save for granting Persona to some people and having his servants helping the playable characters (Igor and the others), Nyar is fully-active and wants to bring humanity to the brick of chaos and despair, to see how much we can take before destroying ourselves.
The ending of Innocent Sin also explains why Philemon don't appears in a physical form or grant the ability to change Personae/see the Velvet Room to every character in P3 and P4 ;p