well, just for the record, here is the entire OED entry, with citations:

Etymology: Said to be the surname of a certain American burglar and safe-breaker.
U.S.
A burglar or safe-breaker.

1903 N.Y. Evening Post 23 June (Cent. D. Supp.), The prompt breaking up of the organized gangs of professional beggars and yeggs.
1905 N.Y. Times 2 Jan. (Cent. D Suppl.), Detective Sergeants‥captured on the Bowery three men who, they say, are among the most successful ‘yeggmen’, or safe~crackers, in the business.

(the online OED has been relaunched, it looks great from what I've just seen!)