Just returning for Mardi Gras, day of extravagant self-indulgence.
I too think this may be a an urban legend. The classic example is a sovereign mixing up "Wait not, execute" and "Wait, not execute". This works better in languages which don't use "to do" in such negations, like English does. Our Russian posters can perhaps shed some light on whether the MF incident is linguistically possible in Russian.
So far I've only heard this story about letters, the telegram aspect was new to me. Were commas even possible in telegrams? (Perhaps they were, as I just read that STOP was spelled out because punctuation was especially expensive.) Anyway the story fits very well relating to a telegram, as they usually were without punctuation.
And it fits very well relating to a Glücksborger! Having read quite a few excerpts from their letters in Tor Bomann-Larsen's recent, excellent, multi-volume Norwegian-language biographies of Carl/Haakon and Maud, I can say that the whole family exhibited a total disregard for proper punctuation, making the style in their frequent letters even more flowing.