It appears in the unlikely place as an aside in a book review from a 1979 issue of NOTES AND QUERIES. The book being reviewed is a Folk-Lore Society volume, ANIMALS IN FOLKLORE; the reviewer is B. D. H. Miller, about whom I know nothing beyond this piece. In addition to mentioning such interesting-sounding pieces as ' "Historic Dragon-Slayers" from Alexander the Great to Sir John Lambton, who flourished in the fifteenth century' and essays by luminaries like Katharine Briggs (an account of the Muller-Lang war) and H. R. Ellis Davidson, he follows a sentence about J. D. A. Widdowson's "Animals as Threatening Figures in Systems of Traditional Social Control" with a lengthy parenthetical, which reads as follows:
(Professor Tolkien used to relate how
as a young father he once threatened his son:
"If you don't eat your porridge, the elephant
will come and gobble it up," only to find himself
disconcertingly vindicated when the boy, gazing out
of the window, exclaimed "But it has, daddy,
it has!" ; the circus was in Oxford, and animals
were just then taking a constutional up Pusey Street.
Did he realize he was operating a System
of Traditional Social Control?)
[NOTES AND QUERIES, June 1979, page 246]
The son in question is of course John Tolkien (b. November 1917). Given that the Tolkiens moved to Pusey Street in September 1919 and left there in March/April 1921 (cf. Scull and Hammond' CHRONOLOGY, pages 109 and 116), the event that inspired this little story must date from that sixteen or seventeen month period.
THE WIFE SAYS "sounds apocryphal to me!"
*a 1955 review of RETURN OF THE KING, to be precise. Maybe better luck next time.