In Agatha Christie's Miss Marple story, Body in Library, published in 1942, a character says, "Hallo, 'allo, 'allo, what's this?"
This is the earliest-recorded written use of the phrase you are asking about. Whether that was the very first time anyone did say these words and other writers of police tales just copied her or whether the police were already in the habit of saying that and Christie just copied them, I do not know!
In the form "Hallo-'allo-'allo", I have since discovered that the phrase was used in P G Wodehouse's Indiscretions of Archie, published in 1921, which considerably predates Agatha Christie's version.
Perhaps it was more widespread in society than either police or broadcasting institutions!
A bit of a google reveals that 2LO, the experimental radio station, was set up in London on May 11th 1922, after Archie and his indiscretions hit the scene. I presume 3LO came later still.
Perhaps some more googling on your own part, Dezzydora, might reveal a recorded use of the words that even predates PG Wodehouse's!