I think it’s less complicated than that. I think he’s trolling to entertain himself. He doesn’t do that only in the Gillovny fandom but in many others. He could know about them, but to assume he’s been talking with Gillian in a private context, we will have to see if they have scenes together. Gillian seems to have a very limited part in American Gods, so they may have not been together on the set. I assume he knows David better than he knows Gillian.