Ceno wrote: The gods of Djelibeybi became real due to Dios's manipulation of time breaking reality itself, in a similar way to how Bilious and the Verruca Gnome became real in Hogfather due to Teatime's actions.
However, in Last Hero we learn that Bast and Sessifet are up there in Dunmanifestin with the main gods of Discworld.
Do we know how did that work? Did Bast and Sessifet survive after Peppic saved the day and went to claim a place at Dunmanifestin? Or were the Bast and the Sessifet that manifested in Pyromids different entities than the "proper" gods? Or were the "proper" Bast and Sessifet taken from Dunmanifestin and forced to manifest at Djelibeybi?
Also, Sessifet is described as a "naked blue goddess" in several wikis, but in the books the only naked blue goddess is Nept...is that an errata that has been copypasted again and again, or am I missing some reference? Is she described as a "naked blue goddess" in the Discworld Noir Video Game?
I think your first guess seems more likely: that Bast and Sessifet survived and went to claim their place. Djelibeybi had been in a sort of time-loop (time peninsula?) so their gods hadn't made it into the more usual Disc reality; possibly they were on the edges of the kingdom the same way the Sphinx was. Once the time-loop was broken loose, the living part of Dejlibeybi was in the normal Disc timeline. I think that enough of the people still believed in some of the gods to let them stay on, and they found their way to Dunmanifestin after that. Some may have melded - I think it's possible that the crocodile headed god of the Djel might have melded with Offler.
I don't do the games so I don't know about Sessifet. However, it seems reasonable for a goddess of the afternoon in Djelibeybi to be blue.