“I was born at night, but not last night”

“I wasn’t born yesterday!” is an expression dating from at least the 18th century meaning that a person is not so naive about a matter (financial or otherwise).
 
“I was born at night, but not last night” (or “I was born at night, but it wasn’t last night”) means that a person might be naive, but not that naive to fall for any scam. The origin of this phrase is uncertain. “I was born at night…” is cited in print from at least 1971. American financier T. Boone Pickens has used the phrase often.
     
 
T. Boone Pickens - Telling It Like It Is
ON JUDGMENT
“I may have been born at night, but not last night.”
(I’m not fooled that easily.)
     
(Oxford English Dictionary)
yesterday, adv., n., and a. 
transf. A short time ago; only lately; the other day; now esp. in prov. phr. I was not born yesterday, etc.
1757 R. DEMERE Let. 10 Aug. in W. L. McDowell Docs. relating to Indian Affairs (1970) II. 398, I was not born Yesterday.
1837 MARRYAT Snarleyyow xii. 62, I was not born yesterday, as the saying is.
       
16 January 1971, Danville (VA) Bee, pg. 11, col. 1:
Little Jeff Congdon of the Nets later was felled by Pittsburgh’s huge John Brisker in a tangle under the boards and had to be taken out briefly for three stitches in his head.
 
He had me by 40 pounds and four inches,” said Congdon of Brisker. “He says he’s sorry, but who’s he kidding? I was born at night, but not last night.”
(From an American Basketball Association game—ed.)
 
Google Books
Jambeaux
By Laurence Gonzalez
New York, NY: Harcourt Brace Jovanovich
1979
Pg. 121:
“Well, thanks,” Page said, thinking, Look, I was born at night but it wasn’t last night.
     
Sports Illustrated
June 08, 1981
The Patience Of A Saint
The coaches and players are forever changing and New Orleans keeps losing, but Quarterback Archie Manning goes marching on
Paul Zimmerman
(...)
“It was an extension with an insignificant raise,” Archie says. “Frank and I had timed my current contract to run until the Players Association contract expired. Now Harold wanted to extend it. I told him, ‘Look, I was born at night, but not last night.’ “
   
Google Books
Groundrush
By Greg Barron
New York, NY: Random House
1982
Pg. 170:
“I was born at night, but not last night.”
   
21 July 1983, Miami (FL) Herald, pg. 1A:
“I was born at night, but I wasn’t born last night,” scoffed Larry Vaughn, the 28-year-old Natchitoches detective heading the case.
   
OCLC WorldCat record
I was born in the night, but not last night
Author: Ellie Corrigan
Publisher: Challis, ID. : [s.n., 1987?]
Edition/Format: Book : English
 
Google Books
Boone
By Thomas Boone Pickens
Boston, MA: Houghton Mifflin
1987
Pg. 108:
Now, I may have been born at night, but it wasn’t last night.