See, if my brother's fiancée actually used one of our in jokes in a context we'd use it in I'd think that she's just like us and 'gets' us too. I absolutely wouldn't see anything insecure about it at all, in fact I'd be pleasantly surprised that she got it and wanted to join in.
I don't think understanding the joke implies she's pretending she was there either.
I do think it depends somewhat on the exact phrasing of the joke, too. Let's say that one time, the sisters had to go somewhere in Cleveland, and Sally was so confident she knew where it was that she didn't bring the directions. She and Sue got horribly lost. Looking back, it's kind of funny; so whenever Sally gets overconfident that she knows where something is, Sue says, "Hey, remember what happened in Cleveland!" as a reminder to bring the directions. Other people in the family may understand the reference, but let's say that no one but Sally and Sue actually say it to each other--it's not just a family catchphrase meaning "bring the directions."
I think it would be weird if Mary suddenly said, "Hey, remember what happened in Cleveland!" when the situation arises. She doesn't
remember what happened in Cleveland, because she wasn't in
Cleveland. And to me, this phrasing really implies that she was there, and she's referencing this specific event that she was part of (but she wasn't). Also, it suggests she hasn't been around the family enough to realize that no one but Sally and Sue say this.
I do think this is far from a universal discomfort, though. Some families would think it was great that she was trying to join in with their traditions and phrases, and would be understanding if she didn't quite have them right yet (e.g., not realizing that only Sally and Sue say this phrase to each other). Others would be more like, "Huh? That's a little odd. It feels like she's trying too hard." And then hopefully they would say, "What can we do to help her relax, and feel like she doesn't
have to try so hard?" I.e., respond in a kind way that continues to welcome Mary, because responding coldly to her misappropriation of the phrase would not bode well for relations between her and the in-laws.
I do realize I've changed the original scenario somewhat. But as it was a hypothetical/generalized scenario, I think it's okay to explore other options.