I just found this thread my grandmother used to always say this rhyme my mom said she believes it was a jump rope song from when she was a kid... My grandmothers mom was from England, but my grandmother was from here (New Jersey, USA).. anyway the version I know and love is:
Not last night but the night before
a pickle and a lemon came knockin on my door
I ran down stairs to let them in
they hit me over the head with a rolling pin
I ran upstairs to get my gun
you oughta see the pickle and the lemon run