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Oliver: Something tells me the White House didn't exactly
get the memo on your glacial gitmo here.
General: Don't ask... Don't tell. He won't tell unless it's vital?

I wouldn't be too embarrassed. His country wouldn't be too ashamed of his tactics? You two
are just the first in a whole host
of vigilantes to be taken out of play.
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"Don't ask," in response to a question, dates back at least to my mother's generation. It's usually accompanied by a rolling of the eyes and a certain tone of voice.
It's something like "Don't get me started."
The implication is that you're broaching a subject which will make the other person angry even to think about.
(It could also be taken as "You don't wanna hear.")

Your next phrase could be taken two ways.
But I believe it's "I wouldn't be too embarrassed, [if I were you]."

He explains the reason not to be embarrassed as (you were not the only one to be treated this way.)

(You may have read something about his patriotism, but I haven't.)
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Thanks, Avangi!