I do similar with these callers, only I say I’m the brother of the person they are seeking, say he was recently murdered, then proceed to chastise them for harassing the family at such a grieving time and insist they take his name off their lists.
Another game is to act like I’m retarded and speak in gibberish.
I always ask if their refrigerator is running. Ask them what they’re wearing. Ask if they’re married. Do you like show tunes? Do you pee in the shower? Are you a terrorist?