For the unfamiliar, a "headcanon" is a fan's interpretation of an aspect of a work that does not necessarily align with the work as generally accepted. In a sentence: "It's canon in my head." What follows is my personal interpretation of The Lego Batman Movie.
Not sure if Batman spoilers but definitely Lego Movie spoilers so have a break:
This is a sequel to The Lego Movie. One of the clues that Lego was actually a kid playing with Legos was the odd turns of phrases and over-the-top characterizations that made sense when viewed from the perspective of an eight-to-ten-year-old. While we don’t get quite as many in Lego Batman, they’re still there.
So, basically, Finn is all “Hey, Dad, I want to watch a Batman movie!” and Finn’s dad is all “Well, we can try, but I don’t think you’re going to like it.” And they watch one of the tamer, modern ones (Batman Begins most likely), and Finn hates it. Haaaates it. And he asks his dad about other Batman movies, and his Dad gives him the TV Tropes synopsis of them.
And now Finn is pissed. Like, really pissed. Because Batman is one of his favorite characters. He’s probably got “Always be yourself, unless you can be Batman” on his lunchbox or something. But the Batman he saw is… kinda boring. And not a hero. At least, not to him.
And his dad, eager to actually do some proper Legoing with his son, suggests they make their own Batman movie.
That’s why we get some casual-but-not-important references to The Abyss and Master Builders and the Massive Multiplayer Crossover (I’m one of the nerd friends you can ask) but no explicit tie-ins to The Lego Movie beyond that: it’s Finn and his dad setting out to make a real Batman movie.