Anyone who has seen Guardians of the Galaxy will realize that director James Gunn has a great sense of humor. There are numerous laugh-out-loud moments in Guardians of the Galaxy that make the film more enjoyable without taking away from the action sequences.
Gunn said, “Josh was just somebody who came up when we were trying to think of who could play Thanos. Josh was somebody who came up. I’m a big fan of his work, and he was somebody who came up who really had the weight that you needed for somebody like Thanos.”
Then for the kicker, Gunn added, “We talked about Pauly Shore for a long time. It didn’t seem to be great. He wanted too much money. We talked a lot to Paul Reubens. He didn’t really seem to be Thanos. Then we came to Josh Brolin. I think he seems to fit more than those other two guys. ”
So to answer the question in the headline, Pauly Shore and Pee Wee Herman were never really up for the Thanos role. Gunn is definitely kidding. As has been previously reported, because Thanos plays a role in future Avengers movies, the Thanos casting decision was made jointly by Joss Whedon and James Gunn.