The story
The phrase arises from the Latin form of Aesop's Fables (Gibbs 209; Perry 33; Chambry 51), as translated from Ancient Greek "Αὐτοῦ γὰρ καὶ Ῥόδος καὶ πήδημα" (literally) "Here is Rhodes, jump here!". In the fable, a boastful athlete brags that he once achieved a stupendous long jump in competition on the island of Rhodes. A bystander challenges him to dispense with the reports of the witnesses and simply repeat his accomplishment on the spot: "Here is Rhodes, jump here!"
Etymology from Wiktionary, CC BY-SA 4.0.