Who Wrote That Song? (Dick & Harriet Jacobs, 1994) says that "Blues My Naughty Sweetie Gives to Me" was written in 1919 - words and music by Charles McCarron, Carey Morgan, and Arthur Swanstrom. It was popularized by Ted Lewis, date of recording not shown.
Spike Jones did a recording of it, and so did Glenn Miller.
-Joe Offer-