Nate Grey doesn't have any guns and stuff... he is just a very powerful telepath.
The dubious relationship link is very weak, as is the donjon link, because if that is to be believed, the doujin link could work for any character according to rule #34. Even moreso considering lupinko implied the doujin hint could only be understood if you were well versed with fighters, which was quickly linked to some risque hentai-esque shit. That's another weak link.
Links were made there but you should also realize that right around the time when "all hope was lost" Chibi busted out 4 or 5 very solid hints that linked to Red Arremer directly. You should hunt for that Chibi post, then you will see why.
The Donjon/Doujin link basically means that Red Arremer was in a crossover game that had the anime-style control layout (A, B, C). The game in question was S
NK vs Capcom: SVC Chaos and Lupinko did mention in his Twitter that there was an overlap in universe (in this case the overlap is SNK). So yeah... if you are well versed in fighters you would've known that Red Arremer was in SVC which was a "donjon" fighter by Lupinko's definition.
The point about NSFW/risque stuff is that there is a Doujinshi out there (now I haven't seen this but I have seen it being referred to numerous times) with Red Arremer and the SNK girls. And yes it is supposedly NSFW. I will leave it at that. Since Red Arremer basically performed a "dubious one night stand" here, it fits the bill.
You are probably asking about the Mighty Max video link and only one theory has been put up about it and that's the game
"Maximo: Ghost to Glory". It's about as good as the Maximum Carnage theory in that the hint/link is "elementary" in nature, as hinted by Lupinko. Maximo is a game based off of the GnG universe which Red Arremer is a part of.
Chibi's hints were : Spits Fire, Horny red ass, in a crossover game and something else I can't remember you should find it to confirm it. All of his hints directly pointed at Red Arremer over anything else, it's unmistakable.
On a side note, I am probably going to look into this NSFW doujinshi for a full confirmation. I just hope no one is around when I check up on this stuff... -_-