Found this quote in the OED from Charlotte Brontë (in "Shirley"): "He is one of Mrs Yorke's warning examples- one of the blood-red lights she hangs out to scare young ladies from matrimony." Perhaps not related, but suggestive.

The first mention found of 'red light' in print with regard to a brothel was in the New York Journal, 1900: "Children of the redlight district."
Boston Transcript, 1900: "The disorderly houses in the 'red light' district were all closed last night."

These quotations tell us nothing except that the term was in use in 1900.