oed.com

it's labeled as us slang so probably the us

Although more frequently used of male homosexuals, this sense can either include or exclude lesbians: see, for example, quots. 1962 and 1993.

A number of quotations have been suggested as early attestations of this sense (see a sample below). It is likely that, although there may be innuendo in some cases, these have been interpreted anachronistically in the light either of the context (for example the disguise as a homosexual of the protagonist of quot. 1941), or of knowledge about an author's sexuality.

a (different) quote from 1941

1941 G. Legman Lang. Homosexuality in G. W. Henry Sex Variants II. 1167 Gay, an adjective used almost exclusively by homosexuals to denote homosexuality, sexual attractiveness, promiscuity..or lack of restraint, in a person, place, or party. Often given the French spelling, gai or gaie by (or in burlesque of) cultured homosexuals of both sexes.

or

1941 T. Painter Homosexual (typescript) in G. Chauncey Gay N.Y. (1994) 18 Supposing one met a stranger on a train from Boston to New York and wanted to find out whether he was ‘wise’ or even homosexual. One might ask: ‘Are there any gay spots in Boston?’ And by a slight accent put on the word ‘gay’ the stranger, if wise, would understand that homosexual resorts were meant.

1933 1933 Baltimore Afro-American 21 Oct. 17 The products engendered by union of these decadents of changing sexes is generally an unenviable type of degeneracy... Sissies, fairies, pansies gay, The woods are full of them today.

so while it may be earlier by 1941 we can safely say it had become a common word for homosexual (also seen in decline in other usages in oed citations)

before it came to mean homosexual gay had a hedonistic connotation or that of a female prostitute.