I feel like this should be very easy to find this on my own, but I’ve tried and failed, so I’m turning to you.
A few years ago, I heard Neil Gaiman reading a short story he wrote in which a man visits his elderly mother and discovers an artifact of his late father’s apparent double life as a Doc Savage-style pulp adventurer. His mother keeps trying to deflect his questions and downplay the whole thing but kept letting little details slip.
It was full of dialogue like “Of course you’re right dear. That couldn’t possibly be your father riding a pterodactyl in that photograph. Why, he always hated to fly!” Only much better, of course.
I’m almost positive I heard him reading the story on Selected Shorts, but I can’t find it on their website.