Where does "hot damn!" come from?

The earliest reference I can find is from Hugh Wiley's first novel Wildcat, 1920:

The Wildcat, consuming a pork chop in the kitchen end of the mess hall, listened in. "Hot damn!" he exclaimed, "Grasty—was big words cooties, Honey Tone sho' would itch! Lissen at him go!"

A bit more about the book (from the Wiley link):

The Wildcat told the story of a black American drafted and sent overseas during World War I; several of Wiley's other early books, including The Prowler and Fo' Meals a Day (1927), were works depicting black life in comic and exaggerated manner, somewhat akin to minstrel show entertainment though perhaps a bit more subtle.

Can't speak to the origin, but it was apparently used famously by Hugh Hefner in the '50's & '60's, to the point that Will Elder's comic parody "Little Annie Fanny" emphasized it.