Mrrzy - the version I've heard goes like this:

A catholic priest gets into a railway carriage in New York, and is sitting opposite a little old Jewish lady.
She leans over and asks "Are you Jewish?"
Wearing a typical priest's garb, he's a bit surprised, but nods politely and says "no, Madam, I'm not Jewish".
A little later she asks again, and he replies the same.
After the tenth time , he's a little frustrated when she says again "Are you sure you're not Jewish?"
He shouts out "OK - I'm Jewish!!".
She looks at him for a minute then says in a quiet voice. "hmm...Funny, you don't look Jewish".