Near the end of Neil Simon's Rumors, a police officer arrives at the house where a neighbor had reported a domestic disturbance. Glenn Cooper, a politician at the house, is making small talk with the policeman once they're in the clear... but then blurts out "we didn't even hear the gunshots." The officer had not mentioned any gunshots at that time.
"Were you not to Ko-Ko plighted" in The Mikado, in which Nanki-Poo describes and demonstrates what he'd do with Yum-Yum if she wasn't engaged to someone else.
Marc Anthony in Shakespeare's Julius Caesar, repeatedly says that he isn't there to praise Caesar because to do so would be to imply that Brutus was lying and, of course, Brutus "is an honorable man. So are they all, all honorable men."
Shakespeare again, in Twelfth Night (III, 4) where Sir Andrew Aguecheek take great care to conceal the true motives of the duel invitation he sends to his rival : "Thou comest to the lady Olivia, and in my sight she uses thee kindly: but thou liest in thy throat; that is not the matter I challenge thee for."
Shakespeare himself made a Suspiciously Specific Denial in the epilogue of Henry IV Part 2, in which he directly told the audience that the character of Falstaff was not based on the nonfictional Sir John Oldcastle. (The character was actually named John Oldcastle in the first draft, but the real Oldcastle's descendants complained.)
''Harpagon: The fact is, I was only talking to myself about the trouble one has nowadays to raise any money; and I was saying that he is a fortunate man who has ten thousand crowns in his house. (...) I am very glad to tell you this, so that you may not misinterpret things, and imagine that I said that it was I who have ten thousand crowns. (...) Would that I had them, these ten thousand crowns!
In 1776, anti-independence John Dickinson protests the word "tyrant" for George III and asks his Yes-Man James Wilson—rhetorically—if the King is really a tyrant. Wilson starts to answer seriously, gets a Death Glare, and demurs by saying that the King isn't a tyrant... in Pennsylvania.