I have The Complete New Yorker, on 8 CDs. I checked through them for every review that Parker wrote, especially the ones not reprinted in Constant Reader. The phrase appears in none of them. As far as I can tell the Constant Reader collection faithfully reprints the reviews so there wasn’t any need to reread them all. It’s hard to imagine that such a line would be cut out in any case.
The book does have some problems. Some reviews can’t be found at all in the pages of the magazine. Example: Two Lives and Some Letters, listed as March 14, 1931, reviews H. S. Ede’s Savage Messiah. But the issue has only a theater review, of A. A. Milne’s play “Give Me Yesterday.” I can’t find that review anywhere in 1931. And the Ede book definitely came out in 1931, when she wrote only the occasional review. It’s possible that the odd and quirky search engine built into the Complete NY (you can’t search by title or keyword or phrase) missed that review in some issue so there’s still hope that other reviews might lie buried in the archives.
There is simply no source for the line that anyone has found. It sounds like Parker, it gets attributed to Parker, and books about Parker accept it as hers. Everybody remembers reading it in Parker or in some book about Parker, although none of them have a source either.
Where it comes from knows only God.