Liquid crystal elastomers exhibit stress softening with residual strain under cyclic loads. Here, we model this phenomenon by generalizing the classical pseudo-elastic formulation of the Mullins effect in rubber. Specifically, we modify the neoclassical strain-energy density of liquid crystal elastomers, depending on the deformation and the nematic director, by incorporating two continuous variables that account for stress softening and the associated set strain. As the material behaviour is governed by different forms of the strain-energy density on loading and unloading, the model is referred to as pseudo-anelastic. We then analyse qualitatively the mechanical responses of the material under cyclic uniaxial tension, which is easier to reproduce in practice, and further specialize the model in order to calibrate its parameters to recent experimental data at different temperatures. The excellent agreement between the numerical and experimental results confirms the suitability of our approach. Since the pseudo-energy function is controlled by the strain-energy density for the primary deformation, it is valid also for materials under multiaxial loads. Our study is relevant to mechanical damping applications and serves as a motivation for further experimental tests.