我也不知道我理解的对不对？...

Yes “being confused” is fine. It’s describing a status of someone or something. It’s usually used to describe a status when they are talking about another action/command that’s ongoing.
“I was being stupid yesterday just ignore what I did.”
Was being stupid is what the person was, and the ongoing command is “ignore what I did.”
Same here, “me being confused” is a description of how the person was like yesterday. The act of him holding up a photo of him being confused and showing to the friend is the ongoing action.

confuse有搞混（照片中的人被搞混了，里面的人是一个有络腮胡子的人）的意思又有疑惑的意思，它这属于一词多义的笑话，还有being confused是me的定语后置短语，用来修饰me这个代词，代词是名词。

这个笑话的目的就是让你confuse
所以别细想了