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I don't believe you. Generally used in response to a story that seems farfetched.
Today, the United States Marine Corps is a well respected branch of the US military, but its early predecessors in Europe were not thought of so well --at least not in the minds of the British sailors on whose ships they were stationed, and who are believed to have coined this expression.
Stepping back further into history: the Romans experimented successfully with placing soldiers on board ships but it would seem that their methods fell out of use after the fall of Roman empire, as most sources start their history of the first organized marine corps in Venice during the 13th century.
Then there is a gaping three century gap until 1537 when sources note that Spain established its first naval infantry unit, becoming possibly the first country in the world to do so. Portugal and France followed suit.
Britain got into the game rather late in the day in 1664, with the establishment of The Duke of York and Albany's Maritime Regiment of Foot, better known as the Admiral's Regiment, with an initial strength of 1,200 infantrymen. By the middle of the 18th century, Britain had at least six Regiments of Marines, so presumably in military circles they were considered of some use, but nevertheless their negative reputation persisted.
According to the ever-reliable phrases.org.uk, the earliest known reference is in John Davis' 1804 novel, The Post-Captain, or, The wooden walls well manned comprehending a view of naval society and manners:
"He may tell that to the marines, but the sailors will not believe him."
After that, it seems, everyone piled in with their own version, including literary greats such as Sir Walter Scott and Anthony Trollope:
"Tell it to the Marines – the sailors won't believe it..."
--Redgauntlet by Sir Walter Scott (1824)
"... Is that a story to tell to such a man as me! You may tell it to the marines!"
--The Small House at Allington by Anthony Trollope (1864)
The phrase had crossed over to America by the first half of the 19th century, and is used in an 1864 letter from William T. Sherman to General Hood:
Talk thus to the marines, but not to me."
This information is background to one of BookBrowse's Wordplay quizzes: "Tell I T T M." When we set these, we always have a particular expression in mind, but sometimes answers are submitted which are equally valid (which was the case for this clue), in which case we include the alternate-answers in the winning draw.
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