Happened to my wife and me about 10 years ago prior to a flight from Cairo to Tel Aviv. El Al security (read Mossad) singled us out and demanded to see "proof" that we were in Egypt. In addition to the "routine" hilarity as above, we also got:

When do you claim you entered Egypt? (2 weeks ago)
How? (on the El Al flight)
May I see your ticket for that flight? (I presented the stack of tickets)
This is the receipt. I need to see the ticket itself. (the airline has that now. we used it)
Well then, did you check any bags on that flight? (yes)
May I see the baggage check? (showed her the little sticker)
No, the part that goes on the bag. (no, we discarded that)
Why did you discard it? (we got the bag and it wasn't needed any more)
So you have no proof that you have your bag? (here it is)
<frustrated> ...
Ok, where did you stay in Egypt? (rattled of the hotels)
Please show me a receipt. (no individual receipts but here is tour receipt)
That is from the US and not valid here. (i'm sorry)
Did you buy anything in Egypt? (yes)
Please show me a receipt. (cannot ... they do not give receipts in Egypt)
Why did you not ask for one? (we didn't need more paper to schlep)
Schlep? (never mind)
...
Do you have anything to prove you are here? (uh.........)
...
and so on for about 15 minutes. Fortunately, the El Al Station Manager wandered by and I caught his eye with a look of pleading. He came over and asked the problem. Ms Mossad said these people cannot prove they are here. SM said I see them, I know them (another story), let them pass. She reluctantly did and he muttered to me "ah, stupid mossad...do you need anything else, sir?"

Later, MM was at the gate and we got the dirtiest look you could ever imagine. We were anticipating a reception committe in TLV ... our adventure story now is how we evaded that!