ReMarx Brothers Siblinghood

In 1938, the Marx Brothers were involved in an alien abduction controversy in the New Jersey countryside. It was omitted from the most recent publication of weird New Jersey due to reasons unknown, but it has been an underground legend in New Jersey for years. The facts are difficult to distill but it seems as if Dorothy Parker and the Algonquin Round Table was involved, as was the Parisian College of Pataphysics, which the Marx Brothers taught at, as was a musical number.

1. The Marx Brothers
2. Dorothy Parker
3. Alien abduction
4. A pie fight
5. A musical number

If you know anything about the events that unfolded in the New Jersey countryside involving the above five criteria, please comment immediately, we want to believe.