The statement in Dudley is not his own; it's in a newspaper
article he reproduces. Obviously the question might come up
at any time, once it was known that there were infinitely many
primes (that's what the reference to Euclid should say).
I'm fairly sure that there are no references to the question surviving
from antiquity. The first result proved was, I think,
by Viggo Brun early in this century; perhaps someone can track
down his paper and see whether he has references to any earlier
mention of the question.
William C. Waterhouse
Penn State