Do you ever think sometimes that Bloody Mary has been the one cutting off the heads with the axe she has because The Crooked Man told her to? Also she says it's her job and she loves to kill.
That sure is a possibility and it seems too much like it's just it, but wouldn't the game fall too short in the mystery aspect if that was just it? I think everyone is expecting more of a twist, and that's what rules out that possibility for me. Ironic, huh?
I think this is too obvious and Telltale would come up with something more surprising.