“The show must go on” originally meant for the circus or a theatrical performance, despite all difficulties, the show must be performed as scheduled. The expression soon applied to any kind of “show,” even a political show.
 
“The show must go on.” was printed in the Evansville (IL) Daily Journal on September 12, 1866. “The show must go on”—in quotes, probably indicating that the saying was already proverbial—applied to the United States 1876 centennial celebrations and was printed in The Morning Republican (Scranton, PA) on December 13, 1875.
 
“The show must go wrong” is a variation of the saying that became popular in the 2000s.
   
   
Wikipedia: The show must go on
“The show must go on” is a phrase in show business, meaning that regardless of what happens, whatever show has been planned still has to be staged for the waiting patrons.
 
There is no evidence to suggest that it is the abbreviation of a longer phrase. The saying and principle are traditional in the theater, but they both originated in the 19th century with circuses. If an animal got loose or a performer was injured, the ringmaster and the band tried to keep things going so that the crowd would not panic because “it is a point of honour not to let the other players down by deserting them when no understudy is available.”
     
The Yale Book of Quotations
Edited by Fred R. Shapiro
New Haven, CT: Yale University Press
2006
Pg. 619:
The show must go on.
Wash. Post, 3 July 1879.
 
(Oxford English Dictionary)
the show must go on: things (orig. a circus or theatrical peformance) must carry on as planned despite difficulty, calamity, etc.; to get the show on the road: to get started (colloq.)
1941 E. HOLDING Speak of Devil xvii. 281 The hotel business is like the theatre. No matter what happens, the show must go on.
1943 Amer. N. & Q. Jan. 159/1 The Show Must Go On..is still primarily a circus slogan, although it can certainly be regarded as an axiom, in a lesser degree, of any form of show business, including the theatre. 
1957 ‘GYPSY ROSE LEE’ Gypsy xxxiv. 309 Gertrude Lawrence, with a true show-must-go-on attitude had accepted my degree in absentia.
1961 L. MUMFORD City in History viii. 231 For the Roman the whole routine of the spectacle became a compulsive one: The show must go on!
1978 R. HILL Pinch of Snuff i. 10 How’d she look at the end of the film? I’ve heard that the show must go on, but this is ridiculous.
   
Chronicling America
12 September 1866, Evansville (IL) Daily Journal, “Correspondence,” pg. 2, col. 2:
... perhaps they will be willing to go home without whipping any negroes, but if not, the darkies had better look out, for Democratic ideas must be applied, and the show must go on.
   
Chronicling America
10 August 1871, The Vinton Record (McArthur, OH), “The Portsmouth Judicial Convention,” pg. 2, col. 3:
The Judge knew what he was put in the chair for; and the question was carried, and the show must go on.
 
13 December 1875, The Morning Republican (Scranton, PA), “The Centennial,” pg. 2, col. 2:
Any one who has visited the Centennial grounds within the past few months needs no assurance that “the show must go on” whether congress appropriated anything towards its success or not.
     
Chronicling America
4 August 1878, Chicago (IL) Tribune, “Under Canvas,” pg. 5, col. 1:
But the show must go on all the same, and he must play his part, and come weal, come “wobles,” the insatiate mob must get the value of 50 cents each or the show must get another clown.
 
9 September 1879, New Haven (CT) Register, “Barnum Scared by Yellow Fever,” pg. 3:
If the St. Louis Globe of August 24 tells the truth, P. T. Barnum was stricken with the yellow fever scare while in St. Louis recently with his show. Some of the attaches of the circus learned of the proprietor’s alarm and visited him at the hotel to tender their aid and sympathy. What there occurred is told by the Globe as follows:
 
The great showman threw himself on an ottoman, and while he folded his hand across the front of his vest, he said:
 
“Bailey, where is that doctor of mine? He is never here when I want him. Fred go down and pay my bill; have my trunk packed and get me a sleeping car berth.”
(...)
“I’ve got the yellow fever. I know I have. Get me out of this quick.”
 
They saw he meant it and in a few hours after they had him on the train. As he parted with Fred Lawrence he said:
 
“Fred, be a good boy and if I die on the road I want you to kill the sea lion Dick, have old Phineas got up in good shape and put me in Dick’s cage. Haul me around, Fred, in the procession behind the calliope. Many’s the boy and girl who’ll worry their parents to buy tickets to see Barnum stuffed. The show must go on even after I am gone.”
 
The train pulled out and they saw the great Barnum no more.
     
OCLC WorldCat record
The show must go on
Author: Elmer Rice
Publisher: New York : Viking Press, 1949
Edition/Format:   Print book : English
 
YouTube
Queen - The Show Must Go On (Official Video)
Queen Official
Published on Oct 15, 2013
Subscribe to the Official Queen Channel Here http://bit.ly/Subscribe2Queen
Taken from Innuendo, 1991.
Queen - The Show Must Go On (promo video, 1991)