Technically, I suppose what they're saying is, "That's a-whole-nother ballgame," because really, "whole" is interrupting the word "another." It's like in Anchorman when the one newscaster gets his other arm bit off and says, "This is getting to be ri-goddamn-diculous." We all realize that he was saying "ridiculous" and stuck the profanity in there for the sake of comedy. I'm not so sure we all realize this with the not-word "nother."