UFO: Mindbender (Episode 14)

Lieutenant Andy Conroy is investigating a crash involving an alien craft on the Moon when he suddenly gets caught up in a Wild west type shoot-out with Mexican brigands. Back at the SHADO's earthly base another officer, Beaver James, gets involved in another shoot-out, this time with aliens. Then a voice shouts "Cut!" and the whole is seen to be a film being made at the studios telling the story of Straker's life. So what's real and what's imagined?