The origin is not known, but O. O. McIntyre used it in his New York newspaper stories in 1922.
30 January 1922, Atlanta Constitution, "Bits of N. Y. Life" by O. O. McIntyre, pg. 4:
"Snap out of it! Be yourself! Laugh it off! Do you think I'm busting a half century note just to show off Dumb Dora's new dress?"
31 March 1922, Atlanta Constitution, "Bits of New York Life" by O. O. McIntyre, pg. 4:
Floor walkers -- pardon, aisle managers -- going to work in frock suits. A natty crew. There's a Dumb Dora!
23 April 1922, New York Times, "'Argo' of the Shifters," pg. 89:
Dud -- Flapper who can't keep in the swim.
Dumb Dora -- Same as dud.
Could ‘dumb Dora’ possibly be derived from the not-very-bright wife of David in Dicken’s David Copperfield?