Delusions are distorted models in your head about the world around you. Facts, arguments or perceptions will not correct this model. A person with delusions will fit the facts to the model. People with psychoses can entertain delusions, but so do people who believe in conspiracy theories.
If you cut your finger the pain appears to originate at the site of the wound. But that is misguided. Pain is an emotion that is generated in the brain itself. Pain is always in your head.