Is it not obvious that if Groucho had any source for the line, it was Charles Francis Adams? Adams was U.S. minister to Great Britain during the Civil War, and when the British government failed to prevent the launching of the privately-built commerce raider C.S.S. Alabama, Adams wrote to Prime Minister John Russel, "It would be superfluous in me to point out to your Lordship that this is war." Adams wasn't referring to the war between the Union and the Confederacy; his line was a politely phrased accusation that Great Britain had committed an act of war against the United States. After this, the British government finally cracked down on the shipyards building for the Confederacy.
We are forgetting so much of our history.