They, as in the filmmakers, or he, as in Bane? Are you really mad at the bad guy for lying to you? He's the bad guy. Of course he lied about him being born in the Lazarus Pit. Everyone thought he was the child from the Lazarus Pit because that's the myth he himself perpetuated.
Are you angry that he, the villain of the story, wasn't honest with you, the audience? That he didn't spoil the misdirection at the very start? Don't be ridiculous.