My dad does stuff like this all the time. He'll tell telemarketers that he's just watching the house while the real him is on vacation in some awesome place, that he's in jail for some ridiculous reason, that he died a strange and horrible death, etc. It's always fun listening to him talk to them. I can only hope that one day I'll be able to lie to people as humorously as he does.
Your Dad is hilarious. There was this period of 3 months were we had almost constant telemarketing calls. So I had Peter Griffins sound board up on a tab at all times. I tried different ones, but the Peter Griffin one keeps them on the phone the longest, and is the most giggle inducing. I'm sure your dad with have a hoot with that.