After the edit, here's the Updated Answer:
Film making itself isn't unethical, there's a clear distinction between what's a truth(fact)/lie from what's ficticious.
A lie is defined by A false statement deliberately presented as being true (Dictionary Entry)
A film or a book, or in other words, a story is An account or recital of an event or a series of events, either true or fictitious (Dictionary Entry)
Every story has to define it's scope/universe. It could be a complete new universe (such as Star Wars) or a spin-off from reality (such as How to Get Away with Murder). Neither events are true, but also neither are passed on as true. Both are ficticious. It doesn't matter what the story is, as long as it doesn't try to pass it on as a fact.
Since ficticious stories don't try to pass as facts, or truths, they cannot be lies. Due to that, film making, writing and other forms of storytelling cannot be unethical in that aspect
However, this case is an exception. While I've personally not seen the movie in question, I've made a quick research on it, and found out similarities with 'Paranormal Activity', which I am much more at ease discussing. Interestingly enough I tried to look up a bit of information regarding Paranormal Activity's marketing campaing and I found an article that draws paralels between 'Blair witch' and 'Paranormal Activity'.
According to the article (emphasis mine):
Most obviously, Blair Witch was one of the first films to exploit the viral power of the Web to stir up word-of-mouth. What made the campaign brilliant, however, is the way that it took full advantage of the murky/underground/conspiracy-theory side of the Internet to imply that the movie was “real.”
That's the key. If we assume that "implying", or rather, not flatout lying, but intentionally misdirect people into believing in something that is a lie. According to the 'lie' dictionary page,
To present false information with the intention of deceiving.
That pretty much sums up the whole ordeal.
Conclusions to be taken
Fictional Works are not true. Fictional Works do not try to pass on as true. Since lying is considered unethical, and Fictional Works do not lie (as they don't attempt to be passed on as truths), then Fictional Works cannot be unethical for not being true (Note that they could be unethical for other motives).
The Blair Witch Project as a work of fiction is therefore not unethical for not being true.
The same cannot be said about it's marketing campaign. Due to being a work of fiction, 'The Blair Witch Project' is not true (while it may be based on some truths, it isn't 100% real). As such, it would be unethical to try to pass it on as something that is true. Since apparantly the Marketing Team who campaigned this movie did attempt to pass the movie as being akin to a Documentary, rather than a work of fiction, then they were attempting to intentionally deceive the target audience, and as such, (assuming lying is unethical) the campaign was unethical