Well, no. Probably not. But he just may have been the first person to make the joke on film in this rare sound test (Thanks YouTube!) from Blackmail!, officially considered the first synch-sound film made in Britain. Actually, production had already begun as a silent film but, like in the plot of Singin’ in the Rain, the sudden success of The Jazz Singer prompted the producers to finish the film in sound. Alas, some of the roles had to be recast, and leading lady Anny Ondra had to be dubbed completely due to her German accent (since she was playing a British character).
In this clip, poor (yet fiercely adorable) Anny Ondra confesses that she “cannot speak well” while Hitchcock himself over-enunciates each syllable, mugging to the camera and culminating with what may be the earliest recorded version of the “That’s What She Said” joke. Ondra is suitably (and once again, adorably) mortified. Have a look:
“Come here. Stand in your place. Otherwise it will not come out right… As the girl said to the soldier.”
Ondra’s accent doesn’t seem that thick to me, but she was dubbed anyway, in the most low-tech manner possible. Ondra appeared on-screen, mouthing her lines silently as actress Joan Barry spoke them just off-camera. (Once again, just like in Singin’ in the Rain.) Now you know!
I’d like to personally thank Brently Davis Koetter for making me aware of this fantastic piece of footage!