I thought this was a wartime Cockney dance that had found its way to the US during or after the war but it seems I was wrong. It's much older, according to the Oxford English Dictionary:Apparently Hokey Pokey in USA, Hokey Cokey over here
Michael.1873 J. Miller Life amongst Modocs (1876) xiii. 192 One man..danced a sort of a savage hokee-pokee, and sang.