" In 1950, while working at Los Alamos National Laboratory, the physicist Enrico Fermi had a casual conversation while walking to lunch with colleagues Emil Konopinski, Edward Teller and Herbert York. The men discussed a recent spate of UFO reports and an Alan Dunn cartoon facetiously blaming the disappearance of municipal trashcans on marauding aliens. They then had a more serious discussion regarding the chances of humans observing faster-than-light travel by some material object within the next ten years. Teller put such chances at one in a million, but Fermi suggested the odds were closer to one in ten. The conversation shifted to other subjects, until during lunch Fermi suddenly exclaimed, "Where are they?" (alternatively, "Where is everybody?") One participant recollects that Fermi then made a series of rapid calculations using estimated figures (Fermi was known for his ability to make good estimates from first principles and minimal data, see Fermi problem.) According to this account, he then concluded that Earth should have been visited long ago and many times over."
Once, it was said, Fermi uttered his famous question in the presence of Lio Szilard, who responded,
"They are among us, but they call themselves Hungarians."
It seems that Fermi may have been the kind of guy who would have enjoyed a good joke.
And from "Ask Dr. Seti"...(honest, that is a web site)
Apparently, Szilard's comment had some cultural and historical basis. The following passage is from The Curve of Binding Energy by John McPhee (1973, Farrar, Straus and Giroux, pp. 104-105):
"Not all the Los Alamos theories could be tested. Long popular within the Theoretical Division was, for example, a theory that the people of Hungary are Martians. The reasoning went like this: The Martians left their own planet several aeons ago and came to Earth; they landed in what is now Hungary; the tribes of Europe were so primitive and barbarian it was necessary for the Martians to conceal their evolutionary difference or be hacked to pieces. Through the years, the concealment had on the whole been successful, but the Martians had three characteristics too strong to hide: their wanderlust, which found its outlet in the Hungarian gypsy; their language (Hungarian is not related to any of the languages spoken in surrounding countries); and their unearthly intelligence. One had only to look around to see the evidence: Teller, Wigner, Szilard, von Neumann -- Hungarians all. Wigner had designed the first plutonium-production reactors. Szilard had been among the first to suggest that fission could be used to make a bomb. Von Neumann had developed the digital computer. Teller -- moody, tireless, and given to fits of laughter, bursts of anger -- worked long hours and was impatient with what he felt to be the excessively slow advancement of Project Panda, as the hydrogen-bomb development was known. ... Teller had a thick Martian accent. He also had a sense of humor that could penetrate bone."