There's a theory that they're actually trolling the entire world while she makes a piece of performance art for her new album.
The theory also suggests that cameramen are disguising themselves as members of the public and filming them on their phones. When they visited the Colosseum, for example, no one would've batted an eyelid at somebody capturing the moment on video.
This video is about two actors on the set of a movie. At the end of the video it becomes clear that their relationship isn't real.
And we all know that both the song and the video were ironic comments on the media and the public's false perception of her.