The Adventures of Baron Munchausen
(1988)

With the help of Sally Salt (Sarah Polley), the Baron (John Neville) reunites his old team, and though they are rusty, they manage to defeat the Turkish army.  But the Right Ordinary Horatio Jackson (Jonathan Pryce), who was negotiating a surrender, later assassinates the Baron, who is finally taken by Death...

...well, that's what the Baron says.  It's hard to tell, but roughly from the point that the theatre is attacked, this whole story was the Baron's invention recounted to the townspeople.  He assures the audience, however, that the Turk really are gone.  And when they open the town gates, there's no army massed outside.  As Sally puts it, "It wasn't just a story, was it?"  The Baron is joyfully sent off by the crowd, and as he rides off into the morning, he outright vanishes. 
 

Thanks Rori!

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