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The question is very general. There's also And You Thought It Was a Game and All Part of the Show. Probably a few more.
This could also describe tropes like Reality Is Unrealistic and The Coconut Effect where someone fails to realize that something is not made up, or believes that the real version of something is fake because it doesn't look like the Hollywood version.
Aluminum Christmas Trees when it's the audience that does this.

The character thinks something is fake, but it turns out to be real.