In my opinion, Dill tells these lies to get attention and to compensate for what he feels is a home life that does not give him what he needs. We know that his parents really do not pay much attention to him. He enjoys his summer trips to Maycomb much more than he likes living back at home.
So I think that Dill sort of feels like no one pays attention to him. By telling these kinds of tall tales, he can feel special and make people pay attention to him. If he has seen an elephant, or been up in an airplane seventeen times, that makes him special and that is a feeling he doesn't get enough of in real life.