Hope this kind of makes you feel better, my parents did it too.

We had an older brother "Paul". At first when we were really little we absolutely believed that Paul was real. It started out with my dad telling tales to try to make us behave better. Don't do that, Paul did that and he's not here anymore kinda deal. Not dead just "away". Well over the years it turned into a catch all, we blamed broken vases and wall drawings on Paul, and our parents told cautionary tales of paul getting hurt because he ran into the road after his ball.

Yes I understand it's fucked up, my parents were good parents who made a joke and then let it run wild. Now (30s) whenever stuff goes wrong we blame it on Paul, everyone Snickers, and that's it.