Miss Margot Charlton at the Oxford English Dictionary Word and
Language Service [OWLS]advises me as follows:
"I very much doubt that anyone can claim exact knowledge of the
origin ..... the earliest example we have discovered ..... dates
from 1935, but it is highly likely that the phrase was used in speech
long before this written version appeared".
The writtn version referred to is noted in the 20-volume OED as
from Saint in New York by Leslie Charteris.
The definition of the phrase is: a catch-phrase mischievously
implying a sexual innuendo in a preceeding remark.