the vampire's legion of the undead?
looks like one of this jojo's antagonists

Don't maintain the Santa illusion. Research St. Nicholas a bit and tell your nephew his story. Tell him that Santa was more or less inspired from him and is part of keeping the spirit of generosity alive.

I do not want to go into any sort of debate over belief or what's real, so I'll just say this. Do not confuse faith or spirituality with religion. Religion so frequently creates separation between people, whereas faith goes far deeper.

Imaginary friends, give them some paper and crayons and tell them to come up with characters and stuff, make up stories and things. Turn it into something creative, fun and constructive. However, if it still persists, tell them about the Shadow People and that they're messing with that. You'll knock that idea out of them like a boot to the head.

As for the Easter Bunny… I haven't gotten the foggiest. You could do some research on it, or just make up some epic nonsense about mutations or a bunch of people getting blitzed and seeing things.