“But I could be wrong.” - Dr. Patricia Tannis
It was a funny Nursery Rhyme. Dare I say a joke. It has significance to Krieg but he can’t recall why. That bit about a Vault is a good way to bait us players into completing the challenge until the decide what if they go further with it.
The easy guess that it leads us to that door to the Varkid raid down the line.
As for reason for Psychos, it’s implied rather than stated plainly. The gas drove then insane and either opened their kinds up to the Psycho Reaver’s influence, or the gas directly inserted that influence.
In dream states our kind will often create images or manifestations of internal or external sensations. I would dream my arm was bleeding when I cut off circulation to it while I was asleep and woke up to no sensation or motor control in it. Things like that.
That gas, whatever its origin was a foreign invader that literally wreaked havoc in the Psychos minds.
Now outside of a marketing choice, there is no in canon reason for the Vault Masks being so common and mass produced on Pandora. It really is as of Pandora had a really successful Hockey team dump all their merch there like the US does the runner up teams ina championship series/ game.
BL2 started the Cult of The Vault to explain that a bit retroactively in the lore. In BL1 it wasn’t a part of the logo design or start up screen. The warmed up to it over time. I look at that as a superficial cosmetic thing in game more than a lore element. I could spin head canon that Hyperion/ or Jack secretly had Benedict infect the planet one Bandit camp at a time, while also trying to brainwash the Bandits they infected into searching for the Vault and Key, giving them the Masks to differentiate their would-be army from the other Bandits. The plan backfired that’s why Jack moved on to trying to use Cl4p-Trps instead.
That, to me, gives Hyperion more of a role than I care for, but again, their New U’s double as Fast Travel, which is canon, and widely in use throughout the game, like Cl4p Trps, so their presence throughout Pandora is well established.
also, to boil things down to basic Freudian Psychology:
Psycho Reaver - Id + Jungian Collective Unconscious
Psycho Krieg - Ego
Sane Krieg - Super Ego