I think Micky did exactly what he said that he did! He cut the label off a mattress! Nothing more!
It's just a comedy! It doesn't have to be realistic! That's what makes it funny.

I always thought it was simply a joke/gag that they did for the movie.. A tough-looking guy being sent to jail for removing a mattress label, and the whole idea itself that removing a mattress label is punishable by law.

We have clearance, Clarence.
Roger, Roger. What's our vector, Victor?

It's definitely a cover story. He realizes that Pee Wee couldn't handle the real truth and he also realizes that Pee Wee is naive enough to believe they would actually send someone to prison for cutting the tags off mattresses.
Hello, how are you, I know you, I knew you. I think I can remember your name

The radio announcer said, "Morelli is armed and dangerous." He didn't say anything about an escaped killer. "Dangerous" doesn't mean he's a killer.

The "I cut the tag off the mattress" thing is a cover story. You can tell he is changing his story based on the way he speaks, and there are all the "escaped convict" talks on the radio and in person.

Mickey turns off the radio when there's a breaking news story about an escaped killer.

When I was a kid, I thought that was what Mickey really went to prison for lol.

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I think it's all subjective for sure, but in the world of Pee Wee Herman, I'm sure Mickey was actually in trouble for exactly what he said he was.
I know the movie is about a man-child who has to go out into the real world and all - but when you consider the "reality" with which he's subjected (Ghost Truck Drivers, parachuting off cliffs with convertible tops, surrounded by jungle wild-life in the middle of nowhere, et al) it wouldn't be that far of a stretch to imagine Mickey being wanted for cutting the tags off mattresses.

No he murdered someone plain and simple. He didnt want to scare pee wee so he told him about the label.