Worth mentioning: The video shows Hitchcock with Anny Ondra, not Joan Barry (not "Berry"). Ondra's voice was replaced live on set with Barry's. And Hitchcock's line is a variant on one — "said the actress to the bishop" — that's been around in Britain since the early 20th century:

http://en.wikipedia.org/wiki/Said_the_actress_to_the_bishop

All of this is pretty well known. You can find it on, you know, the Internet.