In England, 'Sally, Sallies,' became a nickname for the Army and the members (1915, OED). A S. V. hostel also was known as a 'Sally.'

Surprisingly, the first known use in print of 'Sally Ann' was American, 1927, in "American Speech," vol. 2 (OED).

I am sure that earlier use will be found in England and Canada, and that it was used along with 'Sally.' I think I first heard 'Sally Ann' in the 1930's, from my father, who was in the army (American).
I tend to agree with the article quoted by Peace- that the term dates to WWI. Its use is largely UK and Commonwealth, but it has been used to some extent in the States as well.