Close but no cigar! Just another way to say "nice try, but no cigar" ... no prize, as early slot machines (and fairground stalls as well) gave out cigars as prizes.
The song is by "Weird Al" Yankovic, all girls have a name starting with "J", and we're not doing government work here at AZ10.com! Author: Regular Expression, for AZ10.com ~ 27 Feb 2009