I'm extremely skeptical so you'll have to prove it. For example, You won the lottery? Come on, I'm from Missouri. The full expression, I'm from Missouri and you'll have to show me, dates from about 1880. Some authorities believe it alludes to the Missouri Compromise of 1820, whereby Missouri was admitted to the Union as a slave state and slavery was forbidden in certain other areas, but the connection, if any, is not clear.