In Toronto, March 1997, Alice mentioned that he was at Elvis' place (early 70s) and Elvis wanted to show Alice how he could take a gun away from someone who was threatening to rob him (Elvis was a blackbelt). He gave Alice the gun and the next thing Alice knows, the gun's flying out of his hand and he's on the floor with Elvis's boot on his neck. According to Alice all he could think of is, what a great album cover!
Elvis then proceeds to show Alice his "most prized possession." He took Alice into his bedroom, locked the door (Alice was a little nervous at this point after the previous experience) and then took this document out of a drawer. It was a police report. Elvis explained to Alice that, after one of his shows, three guys jumped him in the parking lot and the report detailed the "medical injuries" they suffered at his hands. Elvis went through the report with Alice detailing the injuries and how he beat these guys up.
This story has been spun many times in interviews over the years with all sorts of changed details, but in 2011 Liza Minelli appeared on a UK talk show and told the exact same story, including confirming Alice was there.