“I was born in 1938 in a little house on the edge of the Mississippi River. My father worked on a steamboat,” Paul Reubens tells Matt Wolf, director of the new two-part HBO documentary series, Pee-wee as Himself.

He, of course, was not. Reubens was born in Peekskill, New York, in 1952. His father was … well, his father was a lot of things, including a founder of the Israeli Air Force, but he definitely didn’t work on the steamboat.

Reubens’ joke — one of the first things he says in the documentary — points to two important things that are central to Pee-wee as Himself, an entertaining, enlightening and enjoyably confounding portrait of an enjoyably confounding artist.

First, Reubens, who died in 2023, had been constructing his own identity for decades. He spent so many years making talk show appearances and personal cameos as beloved alter ego Pee-wee Herman that it became impossible...