InaP., I doubt that you will be able to find any initial documentary source for the use of the term for the blues. Giles Oakley, whose history of the blues is titled 'The Devil's music', does not suggest any specific origin for the term. He merely noted: 'For those who tried to maintain an ordered goodness, a recognised accepted shape of action in life that would bring freedom at least in death, it [the blues] was "the devil's music"'. Paul Oliver, perhaps the pre-eminent authority on the blues, noted in his 'The Blues Fell This Morning': 'For the most part the blues is strictly secular in content. The old-time religion of the southern churches did not permit the singing of "devil songs" and "jumped-up" songs as the blues were commonly termed, and it was not an expression that was natural to the church member. Music and song, he considers, must be for the purpose of praising the Lord, and though "holy dancing" is permitted by many black churches, "sinful dancing" is strictly forbidden'.
In respect of the white tradition, Charles Wolfe's excellent 'The Devil's Box' has been mentioned above.
Good luck with your search.