One time the party rescued a prisoner from an orc stronghold and the prisoner was so greatful that he offered his services as a bard to detail the PCs adventure into an epic song. The PCs agreed and took him along on a few more adventurers.

One night at an Inn, the bard vanished on them without warning, but left the completed musical work with the party. The party asked the innkeeper if they saw the bard leave, but the Innkeeper said no such person ever entered with the party. The PCs began retracing their steps, asking various people about the bard, but not one person ever recalled the bard being with the party.
Turns out the bard only existed in the PCs mind as they realized the bard never did interact with anyone except the PCs.

But how to explain the musical epic they have in hand...