That's more plausible, though with the high profile of the Death Marshals (and the existence of necromancy prior to the Guild's arrival in Malifaux), it's still not a particularly great conspiracy theory, as far as they go.
Conspiracy theories about the Guild would work better if it was a relatively benign organization, but they're tyrants and have (or rather, had) the world pretty tightly clenched in their iron fist. I mean, this is an organization that, in Malifaux at least, rips people out of their homes in the middle of the night and burns away their souls to turn them into walking claymore mines.
You really don't need conspiracy theories about the Guild, because the semi-public truth is already pretty grim.