Some people with narcissistic personalities enjoy making others squirm. Try not to get visibly flustered or show annoyance, as that will only urge them to continue.
If it’s someone you’d like to keep close in your life, then you owe it to yourself to speak up. Try to do this in a calm, gentle manner. Tell them how their words and conduct impact your life. Be specific and consistent about what’s not acceptable and how you expect to be treated.