I don't think vegapunk explanation applies to this but anyways we'll see that in the future if it's true or not
Why not when he literally said >All things are brought into this world by desire?
Zoro was never a magician capable of illusions, he always desired Strength and Demon God is the ultimate manifestation of Strength.
You should start looking at this from EOS perspective, Zoro needs to beat the strongest character in the show in order to become strongest himself and illusions wouldn't get him anywhere against a Hawkeyed Mihawk who can see through probably anything.
Becoming a demon god is a fitting ability for the strongest character in the show and Imu literally hinted at this by saying demons are the pinnacle. The only thing left is lifting his haki(and blades) to the #1 spot in the world.