It was written in 1929 with music by Kay Swift and words by Paul James. Sinatra recorded it in 1955 for the Riddle-arranged album In the Wee Small Hours:
That's a pretty great song with a gorgeously simple arrangement, and Frank lives the part of the habitually-rejected lover as he sings it. This part:
Why should I cry,Oh my. That repeated line is just right.
Heave a sigh,
And wonder why,
And wonder why?
Now, to destroy the mood:
So much fun, and what a great smile Frank had.
Bonus: Here's a wonderful take by Ella and Louis Armstrong with some lyrics missing from Sinatra's version.
*I've been slow to catch on, but in addition to Mark's and Bob's Sinatra 100 lists, Evil Blogger Lady is putting up some great Sinatra stuff. Check it out.