Gordon Bennett was an American journalist in the 19th century who was known for his flamboyance. Quite why this became a slang interjection I have not found out yet.
Amongst other stunts he managed to fly a plane into a barn. The surprised onlookers were supposed to have said 'That was Gordon-Bennett'. The shortened form becoming slang for what you say in that sort of circumstance! Probably apocryphal, but a nice story.