Teaching your children to believe in non-existent entities is sinful, or at least not recommended, even if one expresses this teaching in a non-serious matter. It goes against truth, which is one of God’s primary characteristics.

Christmas was not made to be a secular holiday. It was originally a pagan holiday which one of our martyr saints have conquered. Lets respect this saint’s bravery by not spreading falsehoods, no matter how trivial they seem.
Children are innocent, and thus, can easily be manipulated. We should never value moments of fun over essential truths. Remember, as a parent, your job is to help your children reach Heaven. There are no alternatives if we eye the grand scheme of things.