Thing is, there are plenty of conspiracy theories surrounding "The Lost Cosmonauts", cosmonauts that never came home or were killed in terrible accidents that the Soviet authorities never acknowledged.
The Fury is likely supposed to be one of them. A cosmonaut who's Great Day went terribly wrong. Scarred and forcefully forgotten, I can imagine that he went a bit loopy, and the Soviets put him in their Flying Circus of Freaks where he could do some good. I rather liked him, actually, we have pyromania in common and I found the cosmonaut idea rather interesting, as stupid as it was. He really deserved some more elaboration, but still.
The whole Super Freakshow Elite Team idea was quite fun, in all. It always livened things up when they came out to play.
That said, the Metal Gear Solid games have always suffered from a dreadful case of stupidity overdosage. Or rather, stupidity that clashes terribly with the attempts at coming off as reasonably down to earth. For me, MGS3 was the last game before the OD became terminal.
(And no, game, I don't want to glare at her bussom!)