From where does this cliché joke originate, and how did it originate? Did it enter pop culture as a direct result of the pilot episode of South Park, or does it predate this?
I’d always thought it originated with the Betty and Barney Hill hoax:
Most definitely it predates South Park. Anal probing seems to have been a routine intake procedure for alien abductions ever since their inception. I can’t name the first report of it, but Whitley Streiber mentions it in his 1987 book Communion . I suspect digging would show much older references.
Strieber really brought it—and the face of the “gray” alien—into popular consciousness. Strieber’s theory is that the anal probe is really an electroejaculator, designed to force ejaculation for the collection of sperm samples (much as is done with cattle today).
And as for use in well-known comedic routines, the “anal probe” sketch by “The Kids in the Hall” (1988-1994) is one of their better known sketches. It appears that it was in their 4th season, 1991-92 time frame. The story was well enough embedded in popular culture by that time to be used for comedic grist.