We are not amused
A quotation, attributed to Queen Victoria.
This supposed quotation was attributed to Queen Victoria by courtier Caroline Holland in Notebooks of a Spinster Lady, 1919. Holland attests that Victoria made the remark at Windsor Castle:
'There is a tale of the unfortunate equerry who ventured during dinner at Windsor to tell a story with a spice of scandal or impropriety in it. "We are not amused," said the Queen when he had finished.'
Holland doesn't claim to have been present at the dinner and is good enough to describe the account as a "tale', that is, her account has the same standing as "a man in the pub told me".
Despite the fact that in almost all of the photographs and paintings of her, Victoria provides a particularly po-faced demeanour, she had the reputation of being in private a very fun loving and amusing companion, especially in her youth and before the crown began to weigh heavily on her. In public it was another matter, as Victoria preferred to maintain what she saw as the dignity of her position by remaining sternly impassive. She did, of course, become considerably less fun-loving after the death of her husband and her persona in later life is well-documented as being dour and strait-laced.
As to whether she ever uttered the expression 'we are not amused', there's little convincing evidence that she did so with the intention of conveying the serious intent that we now ascribe to the phrase, although in the 1976 biography Victoria Was Amused, Alan Hardy makes the claim (again without offering explicit evidence) that Victoria did sometimes utter the expression ironically.
The evidence to support the idea that Queen Victoria originated this expression 'we are not amused' lies somewhere between thin and nonexistent.
See also: "We have become a grandmother".