I don't think there's already a thread like this, but if there is, totally feel free to take this one down.
Considering that I started Touhou in August, I have some funny noob presumptions still fresh(ish) in my head.
First, disclaimer- I got interested in Touhou through the music, namely ScarletFlameFlandre's videos, so a lot of these came from the music and thumbnails.
First, I thought Keine and Eirin are the same person. Or rather, Eirin had power over history, and was the protector of the human village. The five-letter "ei" names were throwing me off, and their designs looked kind of similar.
Once I actually got Imperishable Night, my first Touhou game, I had no idea who Yukari was. I just thought she was Reimu's friend or something. Not some crazy youkai mastermind... I also thought that depending on the color of the spell/nonspell's HP bar, focused and unfocused shots would be more effective. I also didn't know that Ran was a thing, and presumed that Yukari's shot was just a straight laser. On the occasion that I noticed Ran floating in front of Yukari, I brushed it off as some visual effect thing.
It actually took me a long while, but I didn't realize that Retribution for the Eternal Night was just Theme of Eastern Story for many months, despite playing IN a ton.
Oh, here's a good one- I knew of Touhou through Undertale (with Touhou being a huge inspiration for the game), and at one point watched a video of PCB's Stage 5. I thought the character was a spaceship, which is tooootally the spriting's fault. I only remember the stage in the video because there were cherry blossoms and I remembered the stairs leading up through the Netherworld. Once I started getting into Touhou, I confused Sakuya's named with the word "sakura," and assumed she was the boss at the end of the stage I had seen, and that she was the final boss of the game. I further confused it by listening to the SWR version of Flowering Night, and thinking that it was her theme in the boss fight I had seen (I didn't remember the exact music, okay.) So yeah, I thought Sakuya was the stage 5 boss of PCB/SWR, was the final boss, and that her theme in that game (which didnt exist, at least not my interpretation of it) was Flowering Night.
Thanks to Lunate Elf, I thought Cirno was an elf at first.
That's all I've got for now. Post y'alls' funny stories!