I'm a huge fan of Spike, and I've met his brother Pat a few times, but I reckon credit belongs to "the Raspberry King" Jack Hodges, the writer of the song, which he recorded with a jazz band in 1927!
Spike already used this song (which he obviously loved) in an episode of the Goons. He just thought of a humorous add-on (himself in Valkyrie drag) for TV.
The two aren't connected, but Andy Kaufman also did a similar style gag when he mimed to the Mighty Mouse theme. Also hilarious.
http://www.youtube.com/watch?v=C570byQCLpI