This is the story as given by Kanai Khuntia in his book Mahabhava Prakash.
The gist is that after His departure from Vrindavan, Krishna’s pangs of separation from Srimati Radharani, the gopis and his parents was as acute as their feelings were for Him. Sometimes, when sleeping, the Lord would cry out “Radhey, Radhey… gopi, gopi”.
Although His 16,108 wives personally served Him and took every care for His happiness, yet they saw that He cried for Vrindavan and for Radharani and the gopis. The Queens wondered what it was about Radharani that the Lord Himself was shedding tears for Her.
Once the queens asked Rohini mata, “Very often we hear Krishna crying out in His sleep, ‘Radhey, Radhey….. gopi, gopi’ Why does He do that? What is so special about Radhey and the gopis?”
Rohini mata answered, “It is very difficult to understand. This is the sweetness of Krishna’s Braja Lila – very sweet, intoxicating madhurya-maya lila. You cannot understand it because you are all royal queens. Alright, just to satisfy your curiosity, I will try to explain it. But if during my narration, Krishna or Balaram happen to pass by and hear of it, they will forget themselves and go mad with ecstasy. Then nobody will be able to control them.”
So all of Krishna’s wives assembled in a big hall in Dwarka. Rohiti mata suggested, “Someone should be at the door to keep a watch. As soon as Krishna and Balaram come, she should warn me and I will stop narrating. Otherwise, Krishna and Balaram will lose their consciousness.”
At last, it was decided that Subhadra would stand on guard near the door. Then Rohini maiya began to narrate the sweet nectarian Braja lila.
Although standing at the door, Subhadra was hearing the katha. Soon she went into an ecstatic trance and completely forgot herself. Her eyes dilated and she exhibited the eight
satvic bhavas on her person. Her arms and legs contracted and she became stunned.
In the meanwhile, Krishna and Balaram arrived there and seeing Subhadra standing totally stiff, they peeped into the room. “Oh, Rohini maiya is narrating Braja lila katha.” Then they began to also hear and soon lost themselves in the sweet remembrance of the Vrindavan pastimes.
Their eyes became dilated, arms and legs became stiff and shrunken. Thus, the three forms were standing at the door – Jagannath, Baladeva and Subhadra.
At that time, Devrishi Narada appeared there. From a distance he saw these very beautiful, ecstatic forms, manifesting symptoms of Mahabhava. As he came nearer, the three wound up that bhava and resumed their original features.
But Narada muni said, “I have seen it! I have seen it! Lord, this is my prayer. May that form, Your mahabhava prakash, be manifest in some place on this earth. Let all the people in the world see that beautiful form of Yours and worship You in that form.”
Krishna grants whatever His devotees desire, so he said “Tathaastu” ‘So be it.’
And so Mahaprabhu Jagannatha, Prabhu Balabhadra and Devi Subhadra appeared in Jagannatha Puri in their unique forms.