not on your Nelly - an old saying meaning 'not on you life' or 'no way !'. It derives from the Rhyming Slang 'Nelly Duff' an invented name meaning 'puff' or 'breath (of life)'.
Nelly was an elephant and a one time star of the circus where she ran around gleefully while the Ringmaster (oh mighty one)stood on her back and juggled , but she got banned from the circus because people said that it was cruel to have animals there.
Now her head is pride of place in the collection of stuffed animals in Lord Applecross's trophy room.