If not exactly a deliberate swindle, it is an endlessly repeated put-on, a shaggy-dog story without a punch line.
Idioms and Phrases with shaggy-dog story
A long drawn-out anecdote with an absurd or anticlimactic ending. For example, At first he had us laughing wildly at his shaggy-dog stories, but after the third or fourth we found them tiresome. The term alludes to a well-known series of such stories, which involved a talking dog.
[ c. 1940