Like all here I understand that most words and sayings originate in spoken inventions or verbal mistakes and the few true examples of written origins that can be fixed in time are very likely serendip. Besides it doesn't matter a hoot who said it first except in as much as it helps give insight into the evolution of language. But damn, it is fun.

Ask any eight-year-old kid who grew up in the last mid-century who worshiped Hop-along-Cassidy, Roy Rogers, Gene Autry, Lash Larue, Tom Mix, Red Ryder, Tom Steele, and the Durango Kid, about a "Smoking Gun". A tight-cut still of a "smoking gun" was a pat art scene in one-out-of-three cowboy movies and was known to every scamp who owned a cap gun. It worked like this... Roy, Ted, Tom, or Lash, would walk into an abandoned cabin in search of Bart, Gridley, Max, or the Simmons Gang. Finding it empty he would turn to leave but then, out of the corner of his eye, he would see a smoking gun on a nearby table. He would then spin around and "BAM" a gunman fell from the loft. "BAM he plugged one hiding behind the curtains. "BAM" he shot another who had walked in from the kitchen. Outside the cabin we would hear the sound of hoofbeats as the rest of the gang got away.

Then...

Twenty years later some priss butt reporter drew upon this tradition to dramatize some flimsy evidence in order to convict "Tricky Dick" Nixon and the term has been misused ever since.