I don't know if this counts as proof but according to this site http://www.wordorigins.org/wordorh.htm
"This term is originally from cricket, c.1877. Taking three wickets on three bowls allegedly entitled the bowler to receive a hat from his club commemorating the feat. By 1909 it was being used in other sports."
They also give the same explanation here: http://www.idiomsite.com/hattrick.htm If you want an explanation of what it means to take three wickets on three bowls,you had better ask Ritzmar or Blam,I may be English but I still don't understand cricket! Viv.