I've looked and looked for this - it's a favourite quip of mine - but if anyone knows who first came up with 'drinking in the Last Chance Saloon' they aren't telling as far as I can find out.
Now I think this is to do with Texas during the prohibition of liquor. The first building over the border was a saloon and a sign greeted travellers 'First Chance Saloon" and of course when you were leaving the state the sign read 'Last Chance Saloon" Meaning of course the first chance of a drink and the last. Don't know how true the story is.