An American boxer Norman Selby, known as Kid McCoy, who was welterweight champion from 1898-1900...this may be where it came from....however....It is said that McCoy had so many imitators who took his name in boxing booths in small towns throughout the country that eventually he had to bill himself as Kid “The Real” McCoy, and the phrase stuck. There’s another anecdote in which a sceptical drunk who met the boxer in a bar denied he was the real article with such force that McCoy was forced to hit him. After recovering the drunk said, “It’s the real McCoy!” These stories, I have to tell you, are entirely apocryphal and there’s no evidence whatsoever for the imitators or the drunk. There’s plenty of evidence, however, for suggesting that the original McCoy was actually a Mackay. The earliest example is from 1856, recorded in the Scottish National Dictionary: “A drappie [drop] o’ the real MacKay”. The same work says that in 1870 the slogan was adopted by Messrs G Mackay and Co, whisky distillers of Edinburgh. That would most likely explain the first instance of the expression in the Oxford English Dictionary, which records a letter written by the author Robert Louis Stevenson in 1883: “He’s the real Mackay”. Certainly early references are to a drop of the hard stuff. And some other examples also point towards this Scottish origin. A Rock in the Baltic, by Robert Barr, dated 1906, has: “I shouldn’t have taken the liberty of introducing him to you as Prince Lermontoff if he were not, as we say in Scotland, a real Mackay—the genuine article”. And from Australia, Andrew “Banjo” Paterson wrote in An Outback Marriage, also published in 1906: “‘We brought a drop o’ rum,’ replied Charlie. ‘Ha! That’ll do. That’s the real Mackay,’ said the veteran, slouching along at a perceptibly quicker gait”. It looks very much—without being able to say for sure—as though the term was originally the real Mackay, but became converted to the real McCoy in the US, either under the influence of Kid McCoy, or for some other reason.

Back in the steam locomotive days (1800's) a gentleman named Elijah McCoy invented a drip oiler for the locomotives.Others tried to copy his invention but none worked better that Elijah's,so when someone wanted a drip oiler for there locomotive they asked for "The Real McCoy"

Nobody seems to have a definitive answer to this question. Here is an article where a number of theories are put forward: http://www.guardian.co.uk/notesandqueries/query/0,5753,-18558,00.html