We take this theory.
In the comments, it was stated by several people that the idea of the band taking on the persona of a fictional group, with characters, is very reminiscent of David Bowie's Ziggy Stardust era. In fact, he's the only person I can think of who's ever played another character on stage. KISS, Queen etc have had themes and theatrics, but not actual characters. We know Gerard loves Bowie, and hobocake pointed out that he actually named Bowie as an influence for this album, in an interview.
Now, in case you guys aren't as familiar with Bowie as I am, the Ziggy Stardust phenomena is as follows: In 1972, 3 years after David Bowie hit it big, he released a concept album telling the story of an alien rockstar that fell to earth to save humanity from dullness, and he went on tour for that album, came out onstage dressed and made up as a totally bizarre, androgynous alien figure - Ziggy Stardust. For a long time, not only did he just sing the Ziggy Stardust album's songs, he truly WAS Ziggy Stardust onstage - a person/character entirly different to David Bowie.
The name of that concept album?
The Rise And Fall Of Ziggy Stardust and the Spiders From Mars.
Gerard's words on album 3: "The title 'The Rise And Fall Of My Chemical Romance' was never the real title of the record, more like a code or a joke..."
So. There we go.
I think this theory is it, I really do.