I think people are taking this a bit out of context...
It sounds to me like one of her friends probably said to her something along the lines of "you know, Lady Gaga has a new video out and it looks like she's trying to be you". Then the video came on TV, and since it was Madge's first time seeing it she inquired "Is
this the video where she thinks she's me?"
I doubt she'd intentionally throw shade just out of the blue like that. She doesn't seem like the type to have an ATRL-esque sense of humor.