Here's the conversation...
"I've had such a rough day!"
"What happened?"
"Well, my tough week actually started on Monday, but that's a whole nother story..."
Let's just set the record straight. There is no such thing "a whole nother" story, at least not in the world of correct English grammar.
Think I'm crazy for bringing this up? Stop and listen for a few minutes and sooner or later, you're going to hear (or say), "...but that's a whole nother story." What's they've/you've done with this little phrase is actually splice the word "another" and stick the word "whole" right in there. "Another" is happy being all together; leave it alone! Instead, try saying, "...that's a whole other story" OR "that's another story" (without the 'whole').