I have a friend from college who once told me that his communications teacher informed him that when radio call signs were first being distributed there was a world conference in London (the International Radiotelegraphic Conferences at the beginning of the 20th century). America sent a delegate who was instructed to get U for the western half of the country and S for the east. But when he got to London his cabbie got lost trying to find the conference and they arrived late. As the story goes, when he got there only K and W were left. Is this true?
EDIT: Changed conference location from Paris to London
This is almost assuredly false. The US began using the K and W prefixes shortly before the 1912 International Radiotelegraph Conference was held.
In the Forty-fourth Annual List of the Merchant Vessels of the United States for the year ending June 30, 1912 call signs were first assigned using K and W. K was for Atlantic ships and W was for Pacific ones. Why K and W? I've never found a good explanation. Possibly W was used to signify "west" but there's no proof of this.
In addition to K and W, the US Navy was using the prefix N by this time as well. So if you look at the assignments that were made at the 1912 conference you'll see that the US is assigned KD-KZ, N, and W. KA-KC were assigned to Germany and eventually reassigned to the US in 1929. Around this time the AA-AL prefixes were assigned as well.
Most people don't realize that the US has A, K, N, and W, but if you ever get into amateur radio you'll see call signs with all those prefixes.
I'll add to this thread the following question:
As a broadcast journalism major in Philadelphia in the 80's we learned about call letters for radio and TV stations. What we never got an answer to was, if K stations were out west and W stations were back east, why did KYW in Philadelphia have that K? Also, KDKA is in Pittsburgh. Why?
A similar question is why do radio/tv stations have either 3 or 4 letters? Why not 5? or 6? Or 2? I get it that with limited letters/numbers, you can run out...especially if the first letter must be K or W. Curious. Listening to WLW in Cincinnati - the "Queen City of the West". ;-)
I don't have the history, but an analogous situation is that Canadian radio/TV station names begin with C.