"It's one of those things where they did not believe I was coming and they can't believe that I am actually here," he said. "They just put the phone down on me."
Gascoigne's inauspicious start to life as a manager was eased by a 1-0 home win against Conference North promotion rivals Droylsden after the top scorer Christian Moore slid home a Wayne Duke cross.
Moore had come on as a substitute at the start of the second half, leading to excited speculation that Gascoigne's tactical nous had won the game for the Poppies. In truth, the defender Stephan Morley had been injured, and the new first-team coach, Paul Davis, had been the one to take him off.
A crowd of 2,060, more than twice the usual number, had piled into the tin shed that is Rockingham Road, and not all of them were impressed by "Gazzamania". One regular was bemused to find his seat taken by a journalist who had failed to find a place in the main stand press box.
When Gascoigne did appear, in a Bee Gees-inspired open shirt, his understated wave to the fans suggested a man who had grown up from his days of driving team buses and rebranding himself as "G8". He has told the world he is a new man, who is committed to turning a bunch of postmen and Argos workers into professionals who will take Kettering into the Football League.
But the new chairman, Imraan Ladak, a 27-year-old businessman and long-time Gascoigne fan, admitted before kick-off that his hero has not yet spent any time with the players in practice. Gascoigne missed Friday's training session because of "prior engagements", a revelation that will do little to reassure Kettering supporters that the former England midfielder will be anything more than a marketing tool.
As the game wore on, the man who played for his country 57 times, looked uncomfortable with his new responsibilities. While the former Arsenal player Davis instantly looked like he has been doing the job for years, Gascoigne's involvement was limited to occasional rants at the referee.
In fairness, he admitted when he was unveiled on Thursday that he was "no Jose Mourinho", but fans will be hoping for a more hands-on approach in the future, especially when the Conference National side Stevenage Borough visit in the first round of the FA Cup next weekend.
The fans might also be worried about the status of Kevin Wilson, Kettering's former manager, who never got off his seat in an unfamiliar new role as director of football.