How did your group go about the "convince the inhabitants of Roslar's Coffer they are now dead and in the Boneyard" part? I would think you could just point at the skull-moon and ask how they can explain that if they are still on Golarion, (indeed, you'd think they would have noticed it on their own.)
Townsfolk (refusing to look up at moon): "Stop being ridiculous! You're scaring everyone, making jokes like that! Now, when you're ready to take this seriously, we'll be in the town hall; or else, you can do us a favor and chase off those monsters that keep coming down here!"
Otherwise, just imagine how futile it would be to convince a ghost (not necessarily in the Pathfinder setting, either) of its own nature by pointing out that it's translucent, floating, and walking through walls.
My players did point at the moon. But every time they did, the villager would freak out for a bit, becoming mentally unstable, and then his memory would be "reset". Did it once and my players did not try that again. They did break out the truth to one of the characters' mom, but were really coscious about it this time.
Then they just did what the scenario originally intended them to do.