Reminds me of a joke James Cagney once said at a function: "People think I've said 'You dirty rat' in a movie. I didn't. What I actually said was, 'Judy! Judy! Judy!'." (I'm paraphrasing from his autobiography Cagney by Cagney)
For our younger viewers, Cary Grant was supposed to have said "Judy! Judy! Judy!".
After having a severe mania of James Cagney in '88, I think the closest to "You dirty rat" is in the movie White Heat (The "Made it, Ma! Top of the world!" and-then-he-blows-up movie.) It's towards the end, with shootouts inside the building, and he says, "Why, you dirty..." , shuts up, and then starts shooting again.