There are really only three plausible solutions, one being fairly linear/logical, one being the smart/surprise yet kind of expected answer, and the other being completely out of left field. This is what I think:
1) MASTER HAND - if the series is about a greater power that is reeking havoc on the Smash Bros world, why would it be anyone else? Even the main "storyline" of the original Super Smash Bros was about a hand playing with Nintendo character puppets, thereby creating the SSB universe. And what else other than a giant hand would skin a person alive? And, think about the ominous HAL Laboratories tower looming over the world. They are the creators of the overworld to begin with. This I think is the most logical answer, but maybe it's too predictable.
2) POKEMON + PKMN TRAINER - think about it. Other than Bowser (and tertiary characters like Dr Mario and Toon Link), all of the stand alone Pokemon have not appeared in any of the episodes. They said the killer is quick and cunning, so why not Pikachu? And we already know that the sweet/cudly characters from the games are actually devilish in this universe, so why not Jigglypuff? Lucario is a badass as well. And in the ultimate twist, maybe the kid PKMN Trainter is their leader. He is way to innocent, which is in start contrast to the rest of the characters in this world. So what is the motive? He is out to prove that the World of Pokemon is greater than the Mushroom Kingdom or Hyrule.
3) POLYGON TEAM - way out in left field, but why not? In the games, they are regarded as completely useless and easily defeated. But in this backwards world, why couldn't they be powerful? Also, this would explain why only the skins are being taken. The polygons need skins. How nerdy is that?