As children we had our brother utterly convinced that we had another brother before him. It wasn’t hard, really. We just said “we had another brother once” and he bought it.
Other brother always died horrible deaths and was buried in a variety of places around the country. If we were driving down a back road I would turn to my sister Vicki and say “does this look familiar to you?”. Without skipping a beat or changing the direction she was looking she’d reply “This is where we buried our other brother”. At this point our mother would step in and inadvertently help us out.
“You two stop telling him that! he already gets nightmares!”. We’d be quiet for a few minutes then whisper “See, she’s mad that we told you … because you’re next”