Psion, most fictional characters are people. You don't really need to look for evidence that people are also to be found in the real world. On the other hand, specific people, Harry Potter, for instance, aren't. If you start trying to find him in the real world, it's because you don't understand what literature is.
Some characters of fiction may based on people in the real world. That doesn't make them any more real. My students sometimes have a hard time grasping this concept and use fiction as documentation about what the real-life person was like.
f you start looking for Zeus outside of the myths about him, it's because you don't understand what religion is.