What "rules about not lying"? Movies are entertainment. Most of them are based on lies, regardless of what it says at the beginning or in the credits. Actors are professional liars. Hollywood thrives in fiction; story and tropes.
What personally makes this style interesting to me is that there are usually several layers of meaning and intention. And usually references to other films or common perception or convention.
Even if the intention is to tell the truth or a true story, there's always the bias of the storyteller, the selection of what to tell, and what not to mention etc. So in this case, the Coen brothers re-used the "based on a true story" concept, and even exaggerated it. They re-use the format, but mock it at the same time.