How would i play out this idea?

my idea is to have my character be able to see an entity, not sure if it will actually be an existing entity or just the character's own hallucination, which they will talk and react to.
I see both the GM and other players private messaging me in the character of, for name's sake Devon, Devon. They could send whatever they want; comments on what's happening, taunts, ideas, suggestions for lunch etc.
Fully in the character of Devon. And my character would, always speaking aloud, answer Devon.
Could this work?

I think the problem here is that the GM and all the other players in the game would need to be on the same page about 'Devon's' personality.

I would personally play this out in one of two ways;
1) Play your character as 'crazy' and have him answer perceived taunts, messages etc. from 'Devon'. Devon does not appear in the game and exists only in your character's mind.
2) With permission from your GM, ask them to create an NPC character called 'Devon'. This NPC can then 'talk' to you but the GM can state that only your character can see or hear them.

I would avoid doing any in-character role-play in the private messages, which are out of character.