The whole business of otherwise demonstrably logical and rational people fixating on something so outrageously unlikely that everyone around them shakes their head in astonishment, has never been explained that I'm aware of.
Alien abduction, levitation, and so forth, with "Brad Pitt is in love with me!" small potatoes in comparison.
A successful businessman I've known for 40+ years got "had" by a Nigerian Scam a while back for a million dollars. Everyone around him, other people he'd known for decades, did everything short of sounding air horns and hiring a sky writing airplane to wake him up. Made no difference. Whatever the mental mechanism is, it's strong.
The ability to con people is usually a Satanic combination of zero empathy (sociopathy) and extreme cunningness and decent looks don’t hurt at all. I’ve debated if they are born with it or develop the talent and decided it’s an innate characteristic. Scammers are born, not made.
Once when I was President of the local chamber of commerce a young man came and gave a presentation wanting to bring 200 jobs to our community if we’d license and finance him the rights to manufacture cellular telephone booths. The customer would use the booths for a fraction of the cost of ordinary telephone booths.
I looked around the room and saw Harry, who ran the local shoe store, as an ally.
When it came my turn to question him, I asked Harry to estimate how much he’d paid for his shoes.
Harry said, those shoes are junk. I’d never sell one pair.
And I looked around and said his suit is as bad as his shoes.
The local protector asked him then, for his criminal record, and he said he’d present it at a meeting the next day.
Which never came. He went on to scam another town, instead.
For years afterwards, Harry and me sometimes would get a lecture for making fun of a poor man’s suit and shoes.
The scheme might have worked in our town, you know?