well, OED2 goes with the Italian gonzo connection and (after the HST citation) gives this:
1972 in R. Pollack Stop Presses 184, "I ask Hunter to explain... Just what is Gonzo Journalism?.. ‘Gonzo all started with Bill Cardosa,..after I wrote the Kentucky Derby piece for Scanlan's..the first time I realized you could write different. And..I got this note from Cardosa saying, ‘That was pure Gonzo journalism!’.. Some Boston word for weird, bizarre.’"