“Never ask a man if he’s from Texas. If he is, he’ll tell you. If he isn’t, don’t embarrass him.”
 
It’s not known who first said this, but it dates to at least the early 1900s.
   
     
Google Books
I Give You Texas: 500 Jokes of the Lone Star State
by Boyce House
San Antonio, TX: The Naylor Co.
1943
Kessinger Publishing
2004 (reprint)
Pg. 3:
A Texan remonstrated his son:
“I heard you asking a man just now what state he was from. If a man is from Texas, he’ll tell you; if he’s not, there’s no use in embarrassing him.” 
 
Google Books
Sun in Your Eyes
by Oren Arnold
Albuquerque, NM: University of New Mexico Press
1947
Pg. 223:
A young Texan was going to travel Outside, and his father was giving him loving counsel: “Son, remember never to ask any man where he is from. If he’s from Texas you’ll soon know it. If he’s not, you’ll just embarrass him.”
 
Google Books
Forever Texas: Texas History, They Way Those Who Live It Wrote It
edited by Mike Blakely, Mary Elizabeth Goldman
New York: A Tom Doherty Associates Book
2000
Pp. 18-19: On occasion, I was reminded of an old adage, “Never ask a man if he’s from Texas. If he is, he’ll tell you; if he isn’t, don’t embarrass him.”
   
16 August 1945, Wisconsin Rapids Daily Tribune, “Try and Stop Me” by Bennett Cerf, pg. 14: 
Here are a few stories about Texas from Boyce House’s hilarious book, I Give You Texas.
 
There’s no need to ask a man what state’s he’s from. If he’s from Texas, he’ll tell you himself; if he’s not, why embarrass him?
 
14 September 1949, Chicago Daily Tribune, “Looking at Hollywood” by Hedda Hopper, pg. B9:
HOUSTON, Tex., Sept. 13—Atty. Fred Munch of Houston said that when he was 5 years old, his father gave him this advice: “Son, never ask a man where he’s from. If he’s from Texas, he’ll tell you. If he’s not, don’t embarrass him by asking.”
     
2 July 1950, Oakland (CA) Tribune, “What is a Texan?” by Lloyd Gregory, Parade magazine, pg. 12:
Texas children now are taught:
 
“Never ask a man where he’s from. If he’s from Texas, he will tell you. If he isn’t, don’t embarrass him.”
 
23 June 1954, Los Angeles Times, Cityside with Gene Sherman, pg. 2:
At the same affair Mr. Jerry Wald, the producer and ex-newsman, told of being chided by Mr. O’Donnell for asking a man at a cocktail party if he was from Texas. “Never ask a man if he’s from Texas,” warned the theater man, according to Mr. Wald. “If he isn’t you’ll embarrass him. And if he is he’ll tell you.”
 
24 March 1985, Chicago Tribune, pg. D3:
Texas Monthly, which chronicles the incomparable marvels of life in the greatest state, is one of the best magazines in the Western Hemisphere. It’s just one reason you should never ask a man if he’s from Texas: if he is, he’ll tell you; if he’s not, don’t embarrass him.