According to Nietzsche, the world is a fiction. Nietzsche says: "It is not the truth or falsity of a claim, but the value of the claim for the enhancement of life or the preservation of the species man". Falsehoods, or beliefs, are necessary for the self to exist, but they are still false.
The world is a perspectival fiction. The "will to truth" of the believer is merely an expression of the believer's power drives - see e.g. "Beyond Good and Evil" Section 1, where Nietzsche says: "Finally we stepped in front of a different question: we asked after the value of this will to truth - and there can be no more dangerous question than this".
Perhaps one could say that it was the sceptic who discovered that all truth seeking urges in man (and especially in the philosophers) are really urges to power - urges to become more powerful. Nietzsche says: "Philosophy is itself the most spiritual will to power, it is creation of the world out of the mind of man."
The sceptic becomes a believer in power who can only be refuted by a rival power. Each interpretation of the self is a quantum of power on the part of the "ass", i.e. the believer, who asserts such an interpretation. So, the believer maintains its belief by force of will alone.
So, the 'sceptic' maintains the protean nature of the self by endowing it with powerful advantages, whereas 'beliefs' are the necessary fictions that are the substance of those advantages - beliefs are the substance of the inerpretations and valuations.
Because Nietzsche is a very personal thinker this renders the relationships between the self and the 'believer' and 'skeptic' somewhat difficult, but interesting nonetheless.