Factual error: Towards the end when Pee Wee is being chased through the sound stage, he comes out through the open doors and the red light is flashing that indicates that filming is going on. But if the light were on, the doors would not be open. They also take a while to open, so it's not like they could have just swung open right before Pee Wee got there.
Factual error: When you see Large Marge's memorial in the diner it says that the day she died was January 11 and when Pee Wee goes to Texas and is running from Andy there is a Día de los Muertos parade going on. That holiday actually takes place on November 1st and 2nd, that's a major time difference of ten months.