as the minions suggest, speculation abounds. here's what I'd do if I wanted to read the whole nine yards: go to google.com and type in...
"whole nine yards" derivation
(include quotation marks)

as usual, I like Quinion's take...
http://www.quinion.com/words/articles/nineyards.htm

(as he points out, this is the second-most asked question in all of linguistics, the first being that execrable -gry query.)