|James Gordon Bennett Jr|
The OED first record of the exclamation dates from 1937 and has always been used to express surprise and incredulity.
A Scottish-born journalist, James Gordon Bennett Jr was the son of a newspaper mogul who became famous for conducting the first modern newspaper interview, covering the murder of a prostitute in 1836. He took over the New York Herald from his father but was apparently more interested in living well (buying lavish mansions and yachts) than making sure the paper remained having impressive circulation figures. His lifestyle scandalised New York society to the extent his reputation inspired expressions of disbelief at each account of his latest antics.
Lexicographers aren’t 100% sure this is the real story behind the phrase seeing as there is a large gap between 1836 and 1937. It could be that the name was taken because it sounded euphemistically close to other expressions such as ‘gorblimey’ or ‘God’ and ‘Gordon Bennett’ therefore formed a phonologic substitute.