I assume it’s in reference to the 1938 radio adaptation of the novel The War of the Worlds, which was framed as though it were a legitimate news broadcast being periodically interrupted by reports of an alien invasion. What we might consider “found footage”-style nowadays if there had been, you know, actual footage. Story goes that a non-zero number of people didn’t get the memo that it was a radio play and thought Martians were actually invading.

This has happened enough times that the euphemism for piracy in my household has become “renting a film from my man in Bangladesh”