Bob Cerv was an outfielder in the 1950s and early 1960s who spent much of his career as a reserve for the Yankees. He'd get traded to somebody else, then get traded back to the Yanks ...
One day Cerv is sitting alone on the dugout bench waiting for batting practice to begin. Casey Stengel, the Yankee manager, comes out and sits next to him, and the two men just sit there silently, looking out at the empty park.
Finally Stengel speaks:
"Nobody knows this, but one of us has been traded to Kansas City."
(Side note: Many of the stories I'm using in the Sunday Funnies are obvious tall tales and not to be believed. This is plausible -- it's easy to imagine Stengel telling a player he's been traded in such a manner -- but probably not specifically true. Robert Creamer, in his fine biography of Stengel, names Cerv as the player, but the only time the Yankees sent him to Kansas City was in October 1956, so he wasn't sitting in the dugout when told of the deal.)