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I also love this as someone who loves Halloween and all that. Never thought Athena as a witch, but let's go with it.
The rest of the cast.
Roland: Former Monster Hunter Knight.
Lilith: Demon, or another witch.
Brick: Weredog.
Mordecai: Another Monster Hunter.
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Wilhelm: Definitely a Frankenstein.
Nisha: Pretty much the same.
Claptrap/Fragtrap: A Automaton.
Timothy: Cursed magic user.
Aurelia: Ice Warlock who can enslave demons and spirits.
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Gaige: Mad Scientist/ Artificer.
Maya: Another witch/demon/Monk.
Axton: Top tier Monster Hunter.
Zer0: DnD Warforged/Possessed Armor
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Amara: Battle Priest/Monk.
Zane Flynt: Illusionist mage and bounty hunter.
FL4K: A Mummy.
Moze: Same.
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Obviously, Jack would be the Devil, or at least one of the big name devils. I could see his end goal being the same, freeing ancient before time monsters from their vaults and all the quests and deals is part of that. Maybe Jack is himself an kinda Vampire'/his Handsome Sorcerer self. If he can bring back Janey back...
And Angel is a actual angel he's sucking the holiness out of.
A alternative idea for Athena is a page from Van Helsing, who is strongly hinted to be a Fallen Angel Gabriel and the one who killed Dracula in 1462. (And the latter came back thanks to a deal with the Devil.) Also he became a werewolf in the final battle and kills Dracula.
An exiled witch that lives within the forest, drowned in desolation and acrimony after her former home had been burned down—along with her dearest. Years after her vow to never use dark magic again, the flaming desire to be with her late wife ignites stronger than ever.
She is willing to make thousands of deals with the devil just to bring her back.