The claw is real, and the toy aliens are in a box where they don't see the outside world. All they know is of each other and the claw, and that when the claw grabs one of them, that one of them leaves and never comes back. Their ignorance of what is outside the box that is their home is what they fill with worship of the claw and the idea of something better on the other side.
If you put humans in a box in the same manner from birth until death, I imagine you'd get a similar response. Either fear or admiration of the claw, or both, as well as supernatural properties assigned to it. Not unlike early humans, whose box was ignorance of the physical world and the universe, who assigned supernatural properties to lightning, volcanoes, the sun, etc. Just give the toy aliens a few thousand years outside the box and they'll catch up
