Something like K-Pax(haven't seen it in years) but basically the lead claims to be an alien from another planet and makes it rather convincing, and in the end its sort of up to the viewer whether to believe his story or not.
Looking for some similar plot. Maybe the lead believes they're from the past or the future or from a different galaxy/dimension or something more down to earth as in maybe they think they're a secret agent or whatever. And maybe the truth is never known or we don't find out until the end.
