This abbreviation, now part of the popular vernacular, was used by Admiral of the Fleet John A. (Jackie) Fisher (1841 – 1920), 1st Baron Fisher, in a letter written to The Hon. Winston Churchill MP. These two were close friends and frequent correspondents; Lord Fisher was the First Sea Lord from 1904 to 1910 and also from 1914 to 1915, while Churchill was the First Lord of the Admiralty from 1911 to 1915. You can read about this here.
In other correspondence the two snickered about the King’s Jan. 1st, 1918 Honours List, upon which they found that Prime Minister David Lloyd George (1863-1945) had placed his Private Secretary Miss Frances Stevenson (1888-1972) in line for a CBE. Lloyd George and his Secretary had been intimate since 1913 (apparently a requirement for the job) and that relationship continued until after the death of his wife, whereupon he married Stevenson in 1943. Meanwhile, her biological clock ticking, Stevenson had borne to him a daughter in 1929. Lloyd George did not receive a peerage until 1945, less than three months before his death, but Frances was able to enjoy life as the Dowager Countess Lloyd George of Dwyfor for 27 years.
Perhaps they should have given Stevenson an OMG as well?