That kind of fake self-aggrandizement-delusion-driven story telling is part of the autistic trans subculture. That particular subculture tends to speak of themselves as goddesses, wizards, or other higher beings. Their websites are usually dark themed with pastel or neon forecolors and you'll find anime girls inserted every now and then .

As far as I can tell it isn't a joke per se, but it is tongue-in-cheek and the ego is often very real.