Three examples of the same phenomenon:
1. Javier Marias is a Spanish author who taught language courses at Oxford in the mid-80s. He wrote a book written by a narrator who is Spanish and taught at Oxford in the mid-80s called All Souls. He then wrote a subsequent book, Dark Back of Time, in which a narrator called Javier Marias talks about the fallout from having written a book called All Souls, in which meets several people who were models for characters in the first book, some of whom he calls by their names in the novel. The narrator also insists--multiple times--that he has never confused reality for fiction.
2. Soren Kierkegaard writes most of his works under a collection of pseudonyms, each of whom has a mostly coherent approach, and each of whom stands in relation to the others.
3. Kelvin Mercer, David Jolicoeur and David Mason write and record an album under their individual stage names, Posdnous, Dove (sometimes also Trugoy), and Mase, collectively known as De La Soul, Three Feet High and Rising. On the album, Mase is also known as PA, and Posdnous and Dove are called Plug One and Plug Two, the leftovers from an original album concept that was discarded.
The first is a standard metafictional, postmodern trick. It might not be to everyone's taste, but it is recognizable as an attempt to do something sophisticated and complex. The second is one way of dealing with polyphony, by allowing each voice its own space within an author's oeuvre. The third is the same: metafictional, conceptual, with--as in Kierkegaard--each of the names having its own meaning and significance. Each also has its own voice. A savvy reader will partly distrust Marias-the-narrator when he claims to never have confused reality for fiction, and that the different pseudonyms in Kierkegaard don't mean he is contradicting himself, but speaking in different voices on different occasions.