Found this on a cached page on google : It's a catchphrase taken from the title of a song (1934) by the American songwriter Fred Hillebrand (1893-1963) and recorded by Elsie Carlisle in that year and by Hillebrand himself in 1935. The component 'Home, James' had
existed long before--in the works of Thackery, for example.
What a shame if that's true. The tale I heard was retailed by Lord Montague of Beaulieu on TV. His grandmother's chauffeur was off one day and she was driven somewhere by a replacement. On emerging to go home she asked his name. "James, your Grace." "I always address my staff by their surnames. What is yours?" "Darling, your Grace." "Home, James."
I had always thought that this was from Black Beauty by Anna Sewell but ,having re-read the chapter I thought it was from, I cant find the actual words . But now, I'm wondering if it was in the film of the same name (?).