Jay's impression is that the episode was made by (or at least with the assistance of) the MIB themselves in order to help to discredit anyone who learns of their existence and tries to go public.
Jay watched marveling at the beauty of it all. It was Edgar Allan
Poe's gambit from "The Purloined Letter": There's no better place to
hide than in plain sight. Make a videotape that reveals the truth
about the Men in Black, but make it to look like the lowest of
low-budget sci-fi featurettes, and no one would ever believe it,
except for the eccentrics, cranks, nut cases, and "woo-woos."
MIB:2 - Official Novelisation
Given that the episode happens to be about the Light of Zartha, it doesn't take a leap of the imagination to work out that Kay was the one assigned to the task of creating this episode and realised that he could (ab)use this opportunity to set up a story that would jog his memory one day.