I've heard another version of this one:
Quote:
At an elegant dinner party, Lady Astor once leaned across the table to remark, "If you were my husband, Winston, I'd poison your coffee."
"And if you were my wife, I'd beat the shit out of you," came Churchill's unhesitating retort.
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Where he basically responds "And if you were my wife, I would welcome it" rather than the above answer.