Among
fans, "They" is shorthand for
They Might Be Giants, an
excessively eccentric rock band from
New York consisting primarily of
John Linnell and
John Flansburgh (Though they've been known to sport up to three other band members with identical names.)
"They," probably arose from the band's full name being a mouthful in conversation. It is greatly in keeping with TMBG's lyrical style to have fans make grammatically playful comments like: "They are so great!"