Invent a history. Character finds a document, unearths a book, and in it reads a real history alongside a fake one. Real history grounds. Fake history is imagined and wonderful. For the imagined and wonderful history to be believable, it must be set in chaos, disorder, death, war. So like in Murakami (Hard Boiled Wonderland), where the existence of the unicorn is proved but the Russians are all dying in trenches at the same time so who cares. Or like in Bolano. Archimboldi is Hans Reiter.