First appearance (as the Gay Ghost) = Sensation Comics #1 (January 1942).
Yes, the same issue that hosted the first regular Wonder Woman continuing feature, plus introduced such characters as Wildcat and the original Mr. Terrific, also was where the character of Keith Everet, Earl of Strethmere (in the year 1700) began his story.
Back in 1942, though, the term "gay" didn't have the same general connotation as it would later gain in the 1970s and beyond. So when DC decided to bring back the character in the 1980s, he also had a slight name change:
from Secret Origins #42 (July 1989)
Though the name had been previously used by Atlas / Seaboard comics in 1975.