The story
First known attestation from 1880 where the term was described as being used "because no matter what [the Indians] have done [committed crimes] upon one side they feel perfectly secure after having arrived upon the other". A synonymous term which was attested earlier is medicine road from 1869 and ostensibly a calque of a Sioux term transcribed as "pejuta canku". Unrecorded use of the term or a similar one may date back more than a century earlier than the first attestation. See also medicine (“protective charm among the Native Americans”).
Etymology from Wiktionary, CC BY-SA 4.0.