Not to say that incredible stupidity is out of the question when dealing with jihadis. It just doesn't add up. Guantanamo might not be Waikiki, but it's not like they're getting worked over with crowbars and jumper cables. Why make up a story that will keep you in prison for decades?
There is no upshoot to confessing to this, unless they already have you dead to rights, and you're trying to avoid being executed.