I'm not a teacher ***
It seems it's a distorted idiom, pull somebody's leg. If you're pulling somebody's leg, you're telling them something that's not true, as a joke. You trick and tease them. Sources: Oxford Longman
I've also found a review Despicable me - review, here's a part of it:
The superhero of*Despicable Me*is actually a not-so-supervillain: Gru is a scowling misanthrope in a zip-up turtleneck and slim mod pants — he looks a little like Alfred Molina as reimagined by Charles Addams — who speaks, borrowing the voice of Steve Carell, in a thick-as-Borscht, phony-as-heck Russian accent. That means he often mangles his syntax deliciously and effortlessly: “Ah, you’ve got to be pulling on my leg,” he says crossly when he gets some bad news.
Student or Learner