To demonstrate this is doable, let's use a cool Visual Studio addon named "Microsoft Fakes" (the name itself means a lot...).

Fakes itself is tied to test features of Visual Studio, but it will prove the point. You can follow the standard tutorials to setup a project, and add a fakes assembly for System (in fact mscorlib + system)

This is your code in a library project (I've used exception everywhere because it's easier in testing condition...).

namespace ClassLibrary1
{
    public class Class1
    {
        public static void MyCheck()
        {
            WindowsIdentity identity = Thread.CurrentPrincipal == null
                ? null
                : Thread.CurrentPrincipal.Identity as WindowsIdentity;

            if (identity != null && identity.IsAuthenticated && !identity.IsAnonymous)
            {
                var validated = new WindowsIdentity(identity.Token);
                if (!validated.User.Equals(identity.User) || !validated.IsAuthenticated || validated.IsAnonymous)
                    throw new Exception("Something fishy is going on, don't trust it");
                else
                    throw new Exception("Good! Use the validated one. name is:" + validated.Name);
            }
            else
                throw new Exception("not in");
        }
    }
}

This is the testing code in the test project:

namespace UnitTestProject1
{
    [TestClass]
    public class UnitTest1
    {
        [TestMethod]
        public void TestMethod1()
        {
            using (ShimsContext.Create())
            {
                System.Security.Principal.Fakes.ShimWindowsIdentity.AllInstances.NameGet = (i) =>
                {
                    return "Simon the hacker";
                };

                WindowsIdentity wi = WindowsIdentity.GetCurrent(); // this is the real one "Simon".
                Thread.CurrentPrincipal = new WindowsPrincipal(wi);

                Class1.MyCheck();
            }
        }
    }
}

This is the project layout in Visual Studio:

Also make sure you modify the mscorlib.fakes file that was automatically generated like this:

<Fakes xmlns="http://schemas.microsoft.com/fakes/2011/" Diagnostic="true" TargetFrameworkVersion="v4.6">
  <Assembly Name="mscorlib" />
  <ShimGeneration>
    <Clear />
    <Add Namespace="System.Security.Principal" />
  </ShimGeneration>
</Fakes>

It means I want the whole System.Security.Principal namespace to be shimed and I suggest you use framework 4.6 for both projects and add the corresponding TargetFrameworkVersion attribute.

Now, when you run the test, this is what you'll see:

Ok, in your specific scenario, I may not be able to use fakes, but the underlying technology it relies on just reroutes all APIs (it's lower than .NET in fact, it's called Detours) I believe and allows all these hackery.

To sum up: if it runs on my machine, I can hack it (unless I don't have physical access to my machine).