No. You show them a bank statement to show the direct deposits from your job, or to show a stream of self-employed income coming in. But ... if those direct deposits are from mystery shopping companies, that can be a problem.
If you go to the website for the particular loan company you will be shopping you can find out there exactly what documentation you need to bring with you.
I'm a little edgy about the idea of falsifying a paystub, even with the blessing of the MSC. You are actually getting a loan and it is actually in your name and under your SSN. Even though you know you will pay it back ... I'm not sure it's legal even on a mystery shop to lie about your financial circumstances when actually obtaining a loan or credit. Lie all you want to find out the terms and negotiate, but actually getting the loan is another matter.
Likewise you could probably fake a bank statement. Not sure you should even if you could. Generally those loan docs have a "under penalty of perjury" clause on them.
If you do not have the documentation in your own right that would qualify you for this loan, I do not recommend you try to do the shop. But discuss it with the scheduler.
Keep in mind, while we are shopping, we are just another customer. Then we go home and become a mystery shopper writing a report about what happened while we were just another customer. If something goes south with the shop, and your report is rejected, you have no recourse to the MSC if some law got violated while you were just another customer.
So pick your lies carefully here.
Time to build a bigger bridge.