Clarke, Cook and Greenaway wrote the song in England about the bootlegging days during the American prohibition era. Cook recalled to The Tennessean
that the trio returned to their office after having "had a skinful" and decided it would be fun to write a song about "Prohibition and all the bad people surrounding it." So they came up with a story about "the FBI raiding and this (woman) singing at the bar. (The narrator) doesn't want her to get in trouble. So he kind of saves her."
Note to readers outside the UK: A "skinful" is a British term, essentially meaning an amount of alcohol that is enough to make a person drunk.