James Gordon Bennett was an American newspaper magnate who did all sorts of odd and adventuorous things, (like sending Stanley to find Dr Livingstone in Africa). There is an explanation of the phrase here.
http://phrases.shu.ac.uk/meanings/164200.html
'Odd things', indeed, as Mortartube says. He actually appears in the 'Guinness Book of World Records', apparently, as the perpetrator of the 'Greatest Engagement Faux Pas'. His fianc�e's parents decided he was not the man for their daughter aftrer all, when he turned up at their mansion both late and drunk and urinated in the living-room fireplace in front of them! Quite the charmer, really.
He was most famous in Britain for sponsoring a series of motor races called the Gordon Bennett Races. This was in the early days of motoring when road racing on the mainland was forbidden so races were held in Ireland ; hence 'British racing green' incidentally. The name lends itself to being used as an oath; Gordon is close to the sound of God /Gawd but it avoids the blasphemy