Some people are like that, and may be called pathological liars. They lie both when it could advantage them, and even when there is no possible advantage, even when they are bound to be found out. I think they are fantasists, never satisfied with themselves or their life as it is, and therefore always inventing and inhabiting more marvellous lives. They may be unsure of the truth about themselves, too.
Maybe one could try gently mentioning that so much of what she says turns out to be inaccurate, that you are no longer prepared to automatically believe her, and to ask whether she is aware of how many whoppers she tells.
I remember a patient who had all the nurses in tears with his tale of how his wife had died unexpectedly in bed with him while on honeymoon of a cancer he didn't know she had. When I pointed out that this had definitely not happened, he admitted it was "an exaggeration". WHen I pointed out he never even had a wife, he said that was an exaggeration, too.