I prefer written proof too, but alas I wasn't able to find anything in hard copy form, at least not so far.
The "Merriam Webster Dictionary" has the following for the etymology of the word "scam". (This is the official legal dictionary for American English).
Etymology: origin unknown
The "American Heritage Dictionary" also has:
ETYMOLOGY: Origin unknown
Next I found the "ONLINE ETYMOLOGY DICTIONARY" at http://www.etymonline.com/
Using this lead to:
scam - 1963, n. and v., U.S. slang, a carnival term, of unknown origin. Perhaps related to 19c. British slang scamp "cheater, swindler" (see scamp (n.)).
Again "unknown", but at least this provides another word to research. Perhaps this will lead to a written citation.
Finally, in my online searches I stumbled on the following quotation, which seems appropriate.
"It is often forgotten that (dictionaries) are artificial repositories, put together well after the languages they define. The roots of language are irrational and of a magical nature."
- Jorge Luis Borges, Prologue to "El otro, el mismo."