There are some strong hints about that. Gray brought back Mr Am every few years, but I think he left things vague and ambiguous, and following writers didn't add any explicit information.
Maybe he's supposed to be a flesh and blood manifestation of God (not the Son, but a messenger of some sort). Or he could be some ancient sorceror just playing mind games with people.
It'd be funny if the strip had Mr Am turn up just before Christmas, very busy and distracted in directing his slaves. He starts wearing a red suit and black boots, and Annie notices some reindeer being fed...