I'm not sure if these count as spoilers so I'm tagging them anwyay -
The Kalinag you play in the thangka missions is a hallucination; you're experiencing his story as told by the thangkas. (Trippy, huh.) He was a Kyrati warrior sent to find Shangri-la.
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The Rakshasas Ajay goes up against in the jail are probably actually just regular guards - he is on drugs administered by Yuma.
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The Kalinag Ajay fights against is Yuma; once again, at that point he is on drugs.
There sure is a lot of fun with drugs in this game.