From the OED...
Source unascertained.
The two earliest statements as to its origin were published in 1789: Thomas Anburey, a British officer who served under Burgoyne in the War of Independence, in his Travels II. 50 derives Yankee from Cherokee eankke slave, coward, which he says was applied to the inhabitants of New England by the Virginians for not assisiting them in a war with the Cherokees; William Gordon in Hist. Amer. War states that it was a favourite word with farmer Jonathan Hastings of Cambridge, Mass., c 1713, who used it in the sense of excellent. Appearing next in order of date (1822) is the statement which has been most widely accepted, viz. that the word has been evolved from North American Indian corruptions of the word English through Yengees to Yankees (Heckewelder, Indian Nations iii. ed. 1876, p. 77); cf. Yengees.
Perhaps the most plausible conjecture is that it comes from Du. Janke, dim. of Jan John, applied as a derisive nickname by either Dutch or English in the New England states (J. N. A. Thierry, 1838, in Life of Ticknor, 1876, II. vii. 124). The existence of Yank(e)y, Yankee, as a surname or nickname (often with Dutch associations) is vouched for by the following references:
1683 Cal. St. Papers, Colon. Ser. (1898) 457 They [sc. pirates] sailed from Bonaco+; chief commanders, Vanhorn, Laurens, and Yankey Duch. 1684 Ibid. 733 A sloop+unlawfully seized by Captain Yankey. 1687 Ibid. (1899) 456 Captains John Williams (Yankey) and Jacob Everson (Jacob). 16878 MSS. Earl of Dartmouth in 11th Rep. Hist. MSS. Comm. App. v. 136 The pirates Yanky and Jacobs. 1697 Dampier Voy. I. iii. 38. 1725 Inventory of W. Marr of Carolina in N. & Q. 5th Ser. X. 467 Item one negroe man named Yankee to be sold.
Cf. also Dutch yanky s.v. yanky.]
So Yankee is at least 225 years old. It's not much of a stretch to add "damn" to it. I suspect any number of people have used such an adaptation since the creation of the word.
