Speculation on the phrase (not song) goes back as far as the 1870s, but I haven't seen any documentation. It seems to be older than the 1934 Hillebrand song, but how much older??

The 1918 date for the short comedy (Gargoyle, above) is the oldest cited for "Home, James," but when did the 'don't spare the horses' appear?

Joe, the English upper classes only used surnames when addressing their servants. (I haven't verified this, either).