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The Collaborative International Dictionary
Tell that to the marines

Marine \Ma*rine"\, n. [F. marin a sea solider, marine naval economy, a marine picture, fr. L. marinus. See Marine, a.]

  1. A solider serving on shipboard; a sea soldier; one of a body of troops trained to do duty in the navy.

  2. Specifically: A member of the United States Marine Corps, or a similar foreign military force.

  3. The sum of naval affairs; naval economy; the department of navigation and sea forces; the collective shipping of a country; as, the mercantile marine.

  4. A picture representing some marine subject.

    Tell that to the marines, an expression of disbelief, the marines being regarded by sailors as credulous. [Colloq.]

Wikipedia
Tell That to the Marines

Tell that to the Marines is a 1918 song, written during World War I. It was composed by Jean Schwartz and Al Jolson, written by Harold Atteridge, and performed by Al Jolson. Based on sales estimates, it hit a peak position of No.2 on Top 100 US songs of its time.

The lyrics reference the catchphrase, Tell It to the Marines, and they address Kaiser Wilhelm directly.

Usage examples of "tell that to the marines".

And as for that tale of all his foremast hands being turned into swine, so that he could not win his anchor or make sail, why, he might tell that to the Marines.