Lore

Lore (or at least a general idea): As the sky began to open up, Donnie was given the opportunity to save all of humanity, but did nothing thus sucking him and his imaginary friend into the void above - taking them through a portal that fell into the hands of the entity who filled frank with an unspeakable rage towards Donnie (and the rest of the survivors) that he would use to exact revenge on donnie for destroying the world they once knew and loved.