The phrase “tell it to the Marines” means: A fish story: an expression of disbelief or incredulity.
Lord Byron, in The Island (1823), who appears to have been the first to record the expression, added the note: “‘That will do for the marines, but the sailors won’t believe it,’ is an old saying.”
A year later, in Redgauntlet, Sir Walter Scott repeats it thus: “Tell that to the marines, the sailors won’t believe it.”
The inference is most powerful that the British Royal Marines of that period were such gullible landlubbers that they would swallow any yarn hook, line, and sinker.