In the pilot of FX’s “Legion,” we meet David (Dan Stevens), a powerful telekinetic (so we’re told) suffering from mental illness (so he’s been told) who is rescued from a psychiatric hospital (so it appears). Unsure whether to trust his perceptions, he asks his savior and new girlfriend, Syd (Rachel Keller): “I have to know, is this real?”

If you’ve kept up with this hallucinatory Marvel Comics drama, whose first season finale airs on Wednesday, you know the answer: Yes. No. Maybe! And, anyway (inhales deeply from frog-shaped vaporizer), what is “real”?

“Legion” has left viewers as full of existential doubt as David, and with good reason. Many of David’s thoughts and memories — his best friend, Lenny (Aubrey Plaza), even his childhood dog — have turned out to be figments generated by the Shadow King, a mental parasite living rent-free in David’s noggin.

Scenes take place within illusions, or illusions nested within illusions. David visits the scientist Oliver Bird (Jemaine Clement) in the astral plane, where Oliver lives in a space-age bachelor pad inside an ice cube, which he generated by thought. “What’s real in this space,” Oliver says, “is whatever you want it to be.”