People have all sorts of internal experiences. Perhaps they hear voices that aren’t there. Perhaps they believe that they were some reincarnated historical figure. I’ve even known someone who went around telling people that they were a descendant of some billionaire family (they weren’t). 

It’s not reality just because it’s in your head. 

It’s fine to pretend you’re something or someone else. But it’s a dysfunctional mental illness if you can’t distinguish reality from fantasy.