Source, in full
His famous response, in the early phase of the Battle of Flamborough Head, (23 September 1779) to an inquiry by his opponent (Captain Richard Pearson of the Royal Navy ship HMS Serapis) as to whether he was surrendering his ship, the USS Bonhomme Richard, as recounted in the reminiscences of Jones's First Lieutenant, Richard Dale, as published in The Life and Character of John Paul Jones, a Captain in the United States Navy (1825) by John Henry Sherburne
Notes from Wikiquote
...the Bon Homme Richard, having head way, ran her bows into the stern of the Serapis. We had remained in this situation but a few minutes when we were again hailed by the Serapis, "Has your ship struck?" To which Captain Jones answered, "I have not yet begun to fight!" | In Naval teminology to "strike the colours" means to haul down the ship's flag to signify surrender, but here the use of the ship as subject of the sentence may imply a pun on the non-naval use of "struck".