Bros, this is really easy: The US Air Force was developing all sorts of secret stuff during the Cold War, to keep it secret from, you know, the Russians.
When a secret spy balloon crashed in a public place in Roswell, the Air Force didn’t answer any direct questions and when someone asked if it could be aliens, their reply was, “it can be whatever you want!”
Part 2: Everyone forgot all about the whole event for 30 years, because it was completely unremarkable. Then, after the Watergate scandal, everyone was super suspicious of the government, because one conspiracy had just turned out to be true. And one guy got on the radio and was like, “yeah well the government even has aliens, remember Roswell?” And nobody did, so then they retold the story in the most suspicious way possible and he sold a ton of books.
And that’s where aliens come from.
The aliens were using an inflatable probe to monitor Earth’s weather conditions.
And if we’re being really honest, the government probably doesn’t mind the alien conspiracy theories at all because by having a fake reason to hate the government you’re distracted from the real reasons to hate them. People that focus on the fact that the government might be withholding information about aliens from them have a higher chance of forgetting about the government withholding things like healthcare, food security, student debt relief, public transportation, consumer rights, survivable minimum wages, etc etc.