Bart Gets an Elephant - S5-E17
Trivia: When Chief Wiggum is taking all the calls about the elephant and doesn't believe them, at the end of the last one he says 'Yeah right. And I'm Edward G Robinson'. Hank Azaria originally based Wiggum's voice off a bad impression of Edward G Robinson.
Answer: Willy referred to an encounter he believed he had with actual aliens, while Wiggum thought he was referring to the arcade game.