The story
Dates back to the early 20th century. Later popularized by Mose Allison in his 1983 song "Kidding on the Square" on the album Middle Class White Boy (described in the liner notes as "joking with serious intent") and later by Al Franken describing the negative reaction of Paul Wolfowitz to one of his jokes in the 2003 book Lies and the Lying Liars Who Tell Them.
Etymology from Wiktionary, CC BY-SA 4.0.