As the title suggests, spoilers for The Interview follow.
Towards the end of the movie, after Dave Skylark is shot, he miraculously has a bullet proof vest, blows up Kim Jong-un, finds a random tunnel and is picked up by Seal Team Six. These are the same details of the unbelievable scenario that Dave Skylark describes to Agent Lacey at the beginning of the movie.
This isn't a coincidence. Everything after Dave is shot is his fantasizing about how things should have gone as he dies in the interview chair. Unsurprisingly his fantasy closely matches his original ridiculous thoughts about how he would assassinate and escape.
This is similar to movies like Brazil in which the later fourth of the movie is the main character’s romantic fantasy as he is tortured and killed in real life. Or Total Recall where the end of the movie matches the description of the memories that the main character will have implanted at the beginning.
Its safe to assume that after Dave is killed, Aaron and Sook are captured and also killed.