This incident is recounted in Mac Lane's autobiography, in chapter 6, starting on page 56. It was not Königsberg, but rather Weimar, and he saw Hitler at a performance of a Wagner opera on Wagner's birthday. It's only mentioned in a single paragraph:
Once I actually saw Hitler. While in Göttingen it suddenly occurred to me that I had never visited Weimar, the famous court where Goethe lived and worked. So I took the train and found a hotel, then went to the opera house. The tickets for the Wagnerian concert that evening were all sold out -- it was Wagner's birthday, May 22 -- but someone with an extra ticket came along and sold it to me. I went and enjoyed the opera, and went out into the lobby for the intermission. There, across the lobby, stood Hitler and Göring -- they were easy to recognize from the many pictures I had seen in the papers, and it was well known that Hitler like Wagnerian opera. I had no gun with me.