The second time he came from his dressing room he asked which way is Connecticut.
7 seconds sound clip from the Holiday Inn (1942) movie soundboard.
You can hear this line at 00:31:48 in the Blu-ray version of the movie.
Quote context
[...]
- The first time, sir, he came from his dressing room with a telegram in his hand.
- He ordered Scotch and soda, a bottle of each.
- The second time he came from his dressing room he asked which way is Connecticut.
- He said he has a friend there who knows about women, too.
- How could I stop him, sir, when I don't know which way is Connecticut?
- Who said Holiday Inn wouldn't work?
- Well, we're gonna divvy up a stack of important money tonight, huh?
[...]