E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Coon (A) means a racoon,
a small American animal valued for its fur. It is about the size of a fox, and lodges in hollow trees.
A gone coon. A person in a terrible fix; one on the verge of ruin. The coon being hunted for its fur is a gone coon when it has no escape from its pursuers. It is said that Colonel Crockett was one day out racoon - shooting in North America, when he levelled his gun at a tree where an old coon was concealed. Knowing the colonels prowess, it cried out, in the voice of a man, Hallo, there! air you Colonel Crockett? for if you air, Ill jist come down, or I know I am a gone coon.
Martin Scott, lieutenant-general of the United States, is said to have had a prior claim to this saying.