Is it this one?

Me And My Shadow
Music by Al Jolson and Dave Dreyer
with lyrics by Billy Rose, 1927

Me And My Shadow
Me and my shadow,
Strolling down the avenue,
Me and my shadow,
Not a soul to tell our troubles to . . .

And when it's twelve o'clock,
We climb the stair,
We never knock,
For nobody's there . . .

Just me and my shadow,
All alone and feelin' blue . . .

< instrumental bridge >

And when it's twelve o'clock,
We climb the stair,
We never knock,
For nobody's there . . .

Just me and my shadow,
All alone and feelin' blue . . .