No, they don't actually believe they are victims, but lying about it is absolutely a part of their strategy. You're thinking from the goyish perspective, to you telling the most ridiculous lie to people who know you are lying would be embarrassing and awkward. To jews this is a "virtuous" act to be proud of. Lie has been a synonym for jew for thousands of years. Telling one that he's a prolific liar is the highest praise you can impart.