Wiktionary
go along with the gag
vb. (context idiomatic English) To cooperate in continuing a joke, hoax, or similar phenomenon initiated by others.
Usage examples of "go along with the gag".
I go along with the gag to keep from annoying people or getting funny looks.
The reason was that Forrester had come to a decision while Heinzlichen was talking: he had decided to go along with the gag.
All you hadda do was go along with the gag and you coulda been sitting pretty too.
But if they want to throw away their money in my direction I will go along with the gag and do my damndest to entertain the cash customers.