Well depending on the context it seems like it's playing with the phrase "make believe"(meaning "to pretend") and possibly "to make something you believe in"
It's a bit of a stretch but yeah it seems like they're not using the phrase straight because of that period. The period, to me at least, seems like it implies that making and believing are two separate things being combined. This is not something intrinsic to a period though and requires a bit of interpretation.
In any case "pretend," "fictional," and "phony" are not really the same. Only "phony" is negative, the others are neutral, and I don't think "make believe" is negative either. To me it is also neutral.