From The World of Wonders, 1883:

“There was a widow [Anne] and her daughter [Jane], and a man [George] and his son [Henry]. The widow married the son, and the daughter married the father. The widow was therefore mother [in law] to her husband’s father, and grandmother to her own husband. By this husband she had a son [David], to whom she was also great-grandmother. Now, the son of a great-grandmother must be grandfather or grand-uncle to the person to whom his mother was great-grandmother; but Anne was great-grandmother to him [David]. Therefore David is his own grandfather.”

Hood’s Magazine (1846) adds, “This was the case with a boy at a school at Norwich.”