Be an NPC, not the GM
The GM, as an entity, must be infallible to a certain degree, because he is the PC's conduit to the game world. If he says the party meets an NPC, the party is now reacting to this NPC. If he says here there be dragons, the party stocks up on burn ointment. Players are likely to feel betrayed if this turns out to be false - not false in a "the princess we were sent to save is the dragon we need to save her from" but false in a "my combat guy has no skills relevant to a campaign centered around gangster rap battles" way, or an "I took an evening of my time to come roleplay a courtly flower arranger, not punch out Cthulhu as a superhero" way.
Enter the unreliable narrator. The GM needs to be infallible, but the NPCs need not be, so you can avoid the backlash by blaming it all on a made-up guy. If you are exposition-dumping, feel free to use crazy old man McGuckett as your mouthpiece. If he says he saw cultists summoning demons in the swamp, that's what he thought happened, but it's not the GM's fault the PCs took his word for it. Or he was lying and the PCs are now about to be ground into mincemeat at McGuckett's terrifying shed of rusty chainsaws and leather masks.
This works great when you can have an NPC travel with the party, and be their eyes and ears in terms of a certain task. A party of samurai may be escorted by a local shaman who claims to talk to the spirits, but in actuality is just making things up as he goes along. In an urban adventure, a lawyer, accountant, or other suit-type can string the PCs along in a nefarious scheme, or a scientist can ask them to do progressively stranger things...
Player vs character knowledge
Another issue is that your player's first session behind the sheet of Winnie the Wizard isn't Winnie's first day alive. She's lived in her world for decades, and it's not wrong for her playersplayer to expect that the GM will tell her things that Winnie knows but shethe player does not.
This one is actually very simple to fix - engineer a travel episode that sees the PCs arriving in an unfamiliar land. This will also help by gradually introducing the genre shift and making the PCs feel like it wasn't sprung on them.
One reflex might be to bar all kind of character knowledge, but you can actually use it to your advantage if you do it right. The perspective of a stranger in a strange land helps reinforce things that the players might not find weird, but their PCs sure as hell should. For example, your players might not know what color magic is supposed to be, but as soon as Winnie casts her purple spell and it comes out green she knows that something is afoot.