People sometimes say 'Tell it to the Marines', when they hear a story they don’t believe.
One version of the origin of the phrase 'Tell it to the Marines', approved by the Royal Marines, tells of a typically wise and experienced officer of the Maritime Regiment (the forerunner of today’s Royal Marines) verifying a yarn about flying fish for the benefit of King Charles II in the 1660s. Even then, Marines had been everywhere, done everything, and knew everything worth knowing... Unfortunately this version was actually invented by the novelist W. P. Drury (a retired Lieutenant Colonel of the Royal Marines) in the 1900s.
An earlier reference, more in keeping with the contemporary meaning of the phrase, is found in an anonymous work of naval fiction, The Post Captain; or, The Wooden Walls well manned: comprehending a view of naval society and manners (London: 1806). In this, Captain Brilliant, of HMS Desdemona, when a tale started to grow too tall for his taste, was given to saying, 'You may tell that to the Marines, but I'll be d----d if the Sailors will believe it!'.