Or just really invested in the idea of getting away with his crimes. Lotta psychos are like that. The smart ones tell a good story. The dumb ones (trump, pillow guy, banksman-fried, etc.) don’t. In either case they fully expect you and everyone else to believe their version of events.
Whether that rises to the level of “delusion” is a question of professional terminology I’m not qualified to answer. But it does speak to a persistent attitude that truth / reality is whatever I say it is.