I looked at a number of sites dealing with the folklore related to redheads - see this, for example. I could not find a reference to this motif. It's hard to prove a negative - the belief that gingers don't have souls did not occur before the 2005 episode - but I can't find a reference to it, and I don't recall it existing before that time. Various sites have a great deal of nice folklore, usually focusing on the traditional bad temper, over-sexed nature, and bad luck of redheads. I didn't find references that appear in Hamliton Jenkins' books of Cornish tradition, that a miner walking to work will return home if he encounters a redheaded woman, for surely he would die in the mine if he reported to work that day. And redheads can't churn butter - it won't transform for them. But nothing on a lack of a soul.