Do animals born in a zoo know they are in a zoo?
Which is, honestly, a great question. We could all be nothing more than sea monkeys floating around in a jar belonging to a lifeform we can't even begin to imagine.
And this life form could take great pains never to interfere or be observed, otherwise the experiment would become contaminated.
If we discover this being, maybe it will flush us and start over being more careful next time.