Itchy and Scratchy: The Movie - S4-E6
Trivia: Lisa refers to Dustin Hoffman and Michael Jackson voicing guest characters in the "Itchy & Scratchy" movie. She says "They didn't use their real names, but you could tell it was them." This is a sly reference to Hoffman and Jackson's pseudonymous appearances in The Simpsons, in Seasons 2 and 4, respectively.
Answer: Willy referred to an encounter he believed he had with actual aliens, while Wiggum thought he was referring to the arcade game.