There are a lot of fan theories of popular fiction where people insist that they are entirely the product of the heroes imagination. For example, people have theorised that Hogwarts was all in Harry Potter's head, similarly, sometimes the writers make it seem like this is the case, where Buffy was fooled into believing she was in fact a mental patient.
Scott Pilgrim however is an interesting case as the story is so fanstastical in parts, dimensional portals that go through peoples minds (although they aren't as common in Canada), giant robots and status bars.
My personal favourite is during the battle with Evil Ex #1, Scott lands a 64-hit combo on Matthew Patel, which is, according to Scott's roomate Wallace, a new high score.
However, outside of believing that all fantastical fiction occurs in the mind of the hero, I can't see anything that suggests Scott doesn't live in a video game world. Everyone else sees what Scott sees, Kim remembers when Scott fought 100 guys to save her, and people acknowledge that there are two hole in the moon (thanks to mega-vegan and Evil Ex #3 Todd Ingram). He punched one for Ramona and then one more for Envy
Is there any in-canon evidence to suggest Scott is just making everything up, or does he really live in an awesome video-game universe?