I like the story, its a good example of how we SQL junkies get it done.
I would have refused the work. Almost every time I have had to crank out a last minute ad-hoc, it has been wrong somehow, usually due to a data issue. Sometimes the Business Owner can help you QA the data, but that still isn't going to be right by 5pm. Usually the supervisor/manager doesn't have a real grasp on what the BO wants because he doesn't know the data either so the bulk of your effort is spent running the wrong direction. The only situation where this works is when a data warehouse exists where you can trust that what you are putting out is accurate.
Saying NO directly could get me canned, so my approach is to go directly to the requester (I don't care what their label is) and discuss it directly. At least then if I have to run around with my head cut off it is in the right direction, and the BO and I can come to an understanding of how correct the data will be and how long it will take to get done. I can update my manager and trust is built all-around.
The art of saying NO: