Believe it or not, this question is not Purim Torah. I read the following, strange passage in Colonel Roosevelt by Edmund Morris (Modern Library, 2011 page 147-8) where Teddy Roosevelt is quoted as saying:
I found I was expected to walk with the Queen on my arm and my hat in the other hand -- a piece of etiquette which reminded me of nothing with which I was previously acquainted except for a Jewish wedding on the east side of New York.
I cannot for the life of me figure out what practice he is talking about. Those of use who don't cover our heads all the time anyway put our hats on for things like weddings, not off. Any ideas?