I recall encountering this anecdote illustrating the sexual ignorance of the times in a book review in the NYT, NYRB or TLS 15 or 20 years ago. Since then I have searched in vain for the source or even the review it appeared in. Before I give up and assume it's apocryphal, perhaps someone here can identify it.
A similar anecdote (though not exactly the same) appears in Stefan Zweig's memoir "The World of Yesterday". He mentions (pardon my lousy translation) "the grotesque tale of my aunt who, on her wedding night, suddenly appeared at 1 AM in her parents' apartment, calling for help and saying she never again wants to see the horrible man they had married her off to, who is a madman and a devil, for he quite seriously attempted to undress her". The timing is about right (Zweig was born in 1881).