Honestly, I'm surprised this hasn't been tagged as Mystery, as well. As things progress, things continue to get more intriguing. Usually at this point in a story, at least a breadcrumb has been tossed out as to what happened. I'm suspecting that it is indeed of a mystic nature (possible linkage with that other world).
Also, the weight of Azumi's inner monologue really shows just how much crap he was put through in that other world to make him as callus and cold as he is. Yet, he still has a kind heart buried in the pitch black quagmire of self-hatred and guilt. I say this because if he were truly callus and cold, he wouldn't be worried at all about anyone but himself, or he would be using everyone for his own benefit (which isn't the case with his inner monologue and conversations with Yuki, Azami, and Oda).
Definitely wasn't expecting this from an isekai zombie apolocalypse survival manga lol