[woodbutcher1963]

No, Groucho Marx once shot an elephant in his pajamas.

How it got in his pajamas, he will never know.

[Jamestown1630]

Captain Spaulding was the character Marx was playing.

"One morning, I shot an elephant in my pyjamas. How he got in my pyjamas I don't know."

[HartleyMBaldwin]

Captain Jeffrey T. Spaulding, the famous African explorer, was the character played by Groucho Marx in the movie Animal Crackers. But you knew that.