On page 96 of my book Wordplay (Sterling Publishing Company, 1999) I state that the "-gry" puzzle originated on the Bob Grant talk show on WMCA-AM in New York City and was.
"The Origin of the -Gry Problem,"
Word Ways: Vol. 34
, Article 19.
Available at: http://digitalcommons.butler.edu/wordways/vol34/iss1/19