Sin City/WMG

Miho and Kevin are both former assassins that were trained by the Colonel
They both have similar skills and are crazy enough to be involved in The Guild. They escape for moral reasons (Kevin, as twisted as he is, had some bizarre moral hangups). He ends up at the Farm while Miho decides to hide out in Old Town.
 * Perhaps more frightening: maybe The Colonel himself found Kevin's behavior objectionable

Wallenquist is the Nazi Hunter in "Rats"
This Troper has seen this theory before on other sites. A younger Wallenquist is hired by the German mafia or government to exterminate the retired Nazi war criminal and that's the start of his organization. For all we know, this story actually takes place in Germany and not in Sin City at all.

Marv is still alive.
If Superman can come back from the dead, why can't this guy just have been put in a death like trance when he was electrocuted...then woke up when he was stuffed in the cremating machine and broke out. Marv is dead. There is no need to go looking for him because he is most definitely dead. He did not get out of town with Wendy (and his mom), nor are they living Happily Ever After with Wendy organizing fronts and safe houses outside of Sin City with Marv as the muscle and occasional backup for the Old Town Girls. The End.
 * Because it would lessen the impact of the story.
 * Besides, its not like the Old Town Girls would come rushing to his aid for going on Roaring Rampage of Revenge for one of their own and all their "sisters" that were killed and cannibalized on the Farm despite the daunting odds, nor would it make sense for them to bribe/threaten a few electricians/doctors/executioners to lower the electric chair's wattage, slip in a tranquilizer and pronounce Marv dead and smuggle him out later for some plastic surgery just like for Dwight.
 * Specially not considering that he is friends wtih:
 * Retired Badass Wendy (former co-leader of the Old Town Girls) and by extension, Gail (Current Leader) and Miho (The Enforcer).
 * Dwight, who is also on good terms with Gail and Miho, and owes Marv favors. (Did a similar plastic surgery/disappearance trick himself too.)
 * It just wouldn't be believable for an organization like the Old Town Girls that would murder entire mafia families for a stray bullet that killed one of their own and then start a bloody mob war to do all that instead of just giving Marv a 2nd sexual experience with his first time's twin sister.

Kevin is a Vampire.
We never see him in direct sunlight, performs his killings in a lightproof room under the farm, has supernaturally sharp fingernails and agility, and finally, doesn't die until he's beheaded. If nothing else, being a Malkavian fits him wonderfully.
 * He eats human flesh. Whatever Pisha was is probably more accurate.
 * Also, would he not become a pile of ashes upon "death"?
 * Well, in the pen and paper game, younger vamps take a longer time to disintegrate. Maybe he was just young.
 * The wolf ate most of him. It seems all that was left was the head.

The characters who reveal their full names are the only ones in the whole city who are without sin.
Everyone who goes by One Name Only, and they are many, are harboring some guilty secret or other. Wallace likely did something in that war except win the Medal of Honor, and he's a fairly straightforward hero compared to most of the protagonists. Nancy Callahan is an innocent and John Hartigan is Galahad incarnate. Dwight McCarthy's case is a little curious; if memory serves we only learn his last name after he dies and gets resuscitated, symbolically cleaning his slate - not that he ever forgives or forgets his murder of Damien Lord.

And Ava Lord, she might only wear Mr Lord's name as a disguise. "Iron" Jack Rafferty, though, is the exception. Unless he's aware of the rule and taking advantage of it to get good press to hide his true nature? Yes, I just Epileptic Tree'd my own Wild Mass Guessing.