According to the Sherrin/Brahms book Song By Song, Gorney brought the song to Harburg as a torch song along the lines of:

  I will go on crying big blue tears
  Till I know that you're true
  I will go on crying big blue tears
  Till all the seas run blue.

It was Harburg's genius to see the alternative the music told him. As Michael's quote from Wikipedia states, it first appeared in the review Americana in 1932. The two producers of the show JJ and Lee Shubert disagreed about the song (apparently not speaking to each other but passing messages to each other via a third party!). JJ didn't like it, but it went in anyway.

(Mrs.Gorny later married Yip Harburg and would afterwards say that she only ever married people who wrote Brother Can You Spare A Dime).

Mick