Pokemon Mystery Dungeon can be fun; it's a refreshing break from the usual Pokemon games. Instead of being a trainer; you're a human who was turned into a Pokemon, and you play as that Pokemon for the game.
I have a theory about it, though. Doesn't it seem odd? A human is turned into a Pokemon; leaving their life behind, leaving everyone they know, never going back? Forgetting their friends, family, everything?
Well, here's my theory.
A child in a coma. I know, it's cliché. But this child; either so sick they go into a coma or, following another theory; going into a coma to escape a tortured state, refusing to wake up, having no memory of their life as a human.
When Pokemon attack you in a dungeon; they're trying to wake you up. You're hurting, they're trying to alert you, make you go back. It's your family, your friends, trying to wake you up, get you out of these lucid dreams. But every time your HP goes down low, when you're about to wake up, you just go further into the coma.
So when Gengar tries to 'get rid of you'- he's actually trying to help you wake up.
The game drops subtle hints to you to try and wake you up. It tries to remind you of your life as a human, that this is just a coma, a dream, a game. But life as a Pokemon is just more interesting. So you just slip further and further into the deep sleep.
Now, at the end of the game, it varies depending on your game. In Red and Blue Rescue Team, you're about to go home; about to wake up, trying. But you wish- you wish hard, and you come back. You don't wake up. In Darkness, Sky or Time, you fade away; but after Dialga grants the power of time to your partner; you come back.
And you can never go back to the human world.
So you're stuck as a Pokemon forever; you can never leave, you're trapped in a coma. When you make that wish; when your partner brings you back...
You die.