Consider what we know: Up until a few moments ago we were all in London. Now we're in a small American town. The year is 2015. Sherlock, Lestrade, and I are all aware of a woman who now goes by Mary Watson. Your wife who is pregnant with your child.
There are no other explanations. While Sherlock or Lestrade may enjoy the idea of playing a game with you I would not. Furthermore, lying to you serves no greater purpose. As unlikely as it seems, with all other theories ruled out, that is the only explanation possible.