Penthouse has (or had?) a regular feature called Penthouse Forum with “true stories” about sexual encounters that were probably written by the magazine staffers themselves. A common theme is that some everyday loser, through some strange coincidence or circumstance, gets to have sex with a smokin’ hot babe or three. So, “Dear Penthouse Forum, I never thought this would happen to me, but…” became a commonly seen cliche in the magazine.
I can’t say when it happened, but can tell you it was already common in the early 80s when I was in college and we bought a Penthouse magazine every couple of months.
Not to hi-jack, but having been published in a magazine of this sort myself (while not specifically in Penthouse), I believe they are written by readers. The vast majority are probably made up, though. Mine certainly was.