The Secret Service interview was never in Monty Python's Flying Circus.
A lot of the "new" sketches the Pythons did in the stage shows were originally from pre-Python shows such as "At Last the 1948 Show" (e.g. The 4 Yorkshiremen), "The Frost Report" and even from their college days (e.g. the humour lecture/ custard pie sketch in "Live at the Hollywood Bowl"). I think the Secret Service interview is one of them. Unfortunately, a lot the earlier shows and scripts are missing (esp. the college ones) so it's very difficult to trace it's origins. I think it's unlikely they would have written a single brand new original sketch for the Drury Lane shows.
Will keep searching for the source though.
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