These days the phrase “you can’t make this stuff up” is so overused that really it comes across as,

Oh no, I CAN make this stuff up, and I can make a lot of other stuff up too.
You can’t?
Are you really so low functioning that this is beyond your imagination?
Well that explains a lot of the other dumb ideas you have.

You can’t make this stuff up has become a brag from people who, well, honestly probably aren’t smart enough to make such things up on their own.