How would you play a character that is a figment of another character's imagination without the whole party finding out?
The imaginary character isn't actually with the party. The delusional character is constantly "talking to" the figment on his phone or radio.
One of the GTA games did this, I think.
For a PC such a thing isn't really feasible unless save for very few games(eclipse phase).
Otherwise it would be easier to do a Fight Club, where only one player doesn't know you aren't real.
If you play in any way other than correspondence then it all goes out the window. Secrets that big are near impossible to keep.
I've done it in a Pathfinder game... sorta.
I was playing a witch and her "familiar" was just a manifestation of the sadistic side of her conscious, given form by magic.