"Well" has been an interjection for a very long time. It goes back at least to Old English, as does the practice of duplicating an interjection for emphasis.

The earliest recorded use of "well, well, well" that I could find is from Foxe's Actes & Monuments in 1563, as given by the OED (though of course that does not mean this was the first use in English ever):

Syr, the lawe is, he shoulde bee gagged, therfore let him be gagged. At whiche wordes doctor Ridley...wagged his head at him, and made no aunswere again, but with a sigh said: Oh wel, well, well.

More on uses of Old English interjections in general can be found here and here.