Like Truman on the Truman show ?

Nope, what happened is that Yu Yevon reset the memories of anyone in DZ who learned the truth. (Ultimania Omega guide). Also, being born and raised with no one traveling, after a few generations the DZ people would think that not leaving town is normal...

Perhaps someone in the Universe wonders why we on Earth never left our solar system, yet to most here on Earth space travel was crazy talk until the 1900s... Heck, they thought FLYING above the ground was crazy talk..