Well, it's not exactly what you're talking about - I'm not sure there's any evidence he literally thought he was the character - but i'm going to take this opportunity to tell the story of Hossein Khosrow Ali Vaziri, better known as the legendary Iron Sheik, and one of the most entertaining, interesting, and talented wrestlers of the modern era - both in the entertainment form and the competitive sport.

Any story about Khosrow has to mention his humble origins in a small Iranian town called Damghan. Khosrow was, from all accounts, a very pious, serious, and dedicated young man, well known for impeccable manners. He did not drink or do drugs, he didn't lose his virginity until he was 29, and his wife would recall that when they got married in 1975, he was a perfect gentleman who opened doors and showered his new bride with compliments. Nikolai Volkoff would recall that Khosrow was, like him, unusually frugal and temperate in his early years on the road, compared to other wrestlers. He was “ripped like steel. He watched what he ate."

From a young age, Khosrow idolized Iranian Olympic Gold-Medalist wrestler Gholamreza Takhti. Takhti was a national hero in Iran at the time, not because of his success (there were other athletes with more accolades), but because he embodied a kind of masculine aesthetic that has a long history in Iran - the concept of Javanmardi, which could be it's own answer in and of itself. To give a sense of what this entailed, Takhti once lost a match because he refused to attack an opponent's injured leg - this display of fairness and sportsmanship led to far more fame and accolades than winning would have. *Javanmardi (*literally "young man-ness) basically combined various elements of Islamic asceticism, Sufi mysticism, and chivalrous conduct. It was traditionally associated with the Lutis, a distinct socio-economic group identifiable in Iran from the 15th century onwards. The Lutis were often associated with Sufi brotherhoods or particular zurkhānehs (gymnasiums, lit. strength-house), a kind of gym-cum-social club where traditional Greco-Roman wrestling and sports particular to Iran (like swinging huge wooden clubs called meels, for example) were carried out. Lutis often filled an important social role, somewhere between "local toughs" that could be hired for rough work (legal and illegal) and an semi-organized patronage network that could be appealed to for protection or support.

So, let's not dwell on it too much. The point is, Khosrow idolized Takhti, who came from this chivalrous, quasi-religious tradition, and tried to emulate him as much as possible. He trained hard in High School to excel as a wrestler. His training as a youth included making a hour-and-a-half pilgrimige every week for 40 weeks, to pray for success at a Sufi shrine. He eventually become one of the best-known amateur Iranian wrestlers, even competing for a spot on the Iranian Olympic team. For a few years, he actually served as a bodyguard to Mohammad Reza Shah when he came to Shiraz, after being identified by the army as one of the top Iranian athletes. In short, a far cry from the Iron Sheik we know ranting and raving on American television in the 1980s. So what happened to create The Iron Sheik character?

Khosrow left Iran in 1968 following the death of his idol, Gholamreza Takhti. Takhti's death is a subject of much debate - he was found dead in his own apartment, in an incident officially declared a suicide. But he was also known for his social activism and his support for Mohammad Mossadegh and the Second National Front, a nationalist movement that posed a threat to the Shah. He became increasingly and more openly political. According to one apocryphal story (may or may not be true, as the Shah had close contact with Iranian athletes, used them in his propaganda, and was aware of their potent symbolism and popularity), when the Shah offered Takhti a large sum of money in exchange for some service or another, Takhti rejected it and told the Shah to use it to build schools, highways, and hospitals instead. The Shah was furious, ended the meeting, and shortly thereafter Takhti turned up dead. After the 1979 revolution, members of SAVAK confessed that he had been arrested and murdered for his political activities, but of course confessions obtained under such circumstances are not always accurate.

In any event, Khosrow was shattered by Takhti's death, and fell into a deep depression. He would later say that he suddenly realized, as a potential candidate to be the Shah's next "pet" athlete and national symbol, he might be in danger. Young, patriotic, and steeped in the Javanmardi tradition, his political views aligned closely with his idol. "I realized if Iran was not good for Gholamreza Takhti, then it was probably not good for Khosrow Vaziri," he said later. He left for the United States and never looked back.

I could get into the whole history of the Iron Sheik’s life and career in the WWE, but it’s beyond the scope of the question. Briefly, he began wrestling in semi-professional competitions, with a much more clean-cut, even "All-American" image. He spent some time coaching for the U.S Olympic Wrestling team because of his reputation and talent. He met and married Caryl Vaziri in 1975 and started a family (Caryl would reminisce that she "fell in love immediately...180 pounds, washboard stomach, just...absolutely drop dead gorgeous. The hottest thing on two feet." Was that love, Caryl? 😂)Family life led him to search out more lucrative ways to make a living, which (glossing over a lot of the history of how professional wrestling changed in the 1980s to become the "sport" we all know and love today) led to the development of the Iron Sheik character.

Yes! Jody Enders, in Murder by Accident: Medieval Theater, Modern Media, Critical Intention, discusses the 1485 account of a play (she believes it to have been a Passion play of some kind) in the city of Bar-le-Duc in France where: "an unnamed actor returned home after his performance and, still clad in his devil suit, he proceeded to force himself sexually upon his unnamed wife, who tried repeatedly to resist him" (67). Enders goes on to explain how the surviving account specifically describes that the actor "stopped impersonating a devil (contrefaire le dyable) and became a devil in real life (faire le dyable)." Enders points to questions that the account raises regarding the nature of evil and whether is was already present in the actor before playing the role of the devil or whether it was suddenly imbued within him once he started playing the character. And what's interesting is that this question pops up throughout the Middle Ages. In the twelfth century, Gerhoh of Reichersberg describes performative spectacula and ludi at the Augburg Cathedral School where boys would play out the roles of Herod (often an analog for the Devil or a diabolical personage) and other devilish beings that would "transform" them and the sacred spaces of the Cathedral into instruments of the Antichrist (see Gerhoh's treatise, De investigatione Antichristi).