There is no definitive proof of the legend. Here is what I've found.

This legend appears to be the most factual as it is backed by several sources
http://www.fact-archive.com/encyclopedia/Jackalope
http://www.newanimal.org/jackalope.htm
http://www.ravishingbeasts.com/jackalopes/
"The jackalope was born in the 1930s when two teenage brothers, Douglas and Ralph Herrick, returned home from a successful hunt and tossed a dead rabbit next to a pair of antlers: the accidental pairing immediately sparked Douglas' creative imagination. The brothers had studied taxidermy by mail order, and Douglas set to work to create his legend: a cross between a pronghorn antelope and a jackrabbit.

The jackalope has since become a totem of the Old West and American tourist kitsch, and Douglas, Wyoming - Herrick brothers' hometown - has become a shrine of the elusive creature. An eight foot statue of jackalope stands in the Jackalope Square in the center of Douglas and a 13-foot jackalope cutout was erected on a local hillside. The Douglas Chamber of Commerce has issued thousands of jackalope hunting licenses despite regulations stipulating that hunting can only occur on June 31st between midnight and hunter must have an IQ lower than 72."

Here is the legend behind it, with no origin.
http://www.museumofhoaxes.com/tall-tales/jackalope.html
"The jackalope is an antlered species of rabbit, unfortunately rumored to be extinct, though occasional sightings of this rare creature continue to occur, suggesting that pockets of jackalope populations continue to persist in its native home, the American West.

The jackalope is an aggressive species, willing to use its antlers to fight. Thus, it is also sometimes called the "warrior rabbit."

Jackalopes possess an uncanny ability to mimic human sounds. In the old West, when cowboys would gather by their campfires to sing at night, jackalopes would frequently be heard singing back, mimicking the voices of the cowboys. Jackalopes become especially vocal before thunderstorms, perhaps because they mate only when lightning flashes (or so it is theorized).

When chased, the jackalope will use its vocal abilities to elude capture. For instance, when chased by people it will call out phrases such as, "There he goes, over there," in order to throw pursuers off its track. The best way to catch a jackalope is to lure it with whiskey, as they have a particular fondness for this drink. Once intoxicated, the animal becomes slower and easier to hunt.

jackalope
Jackalope sighting!
Jackalope milk is particularly sought after because it is believed to be a powerful aphrodisiac (for which reason, the jackalope is also sometimes referred to as the 'horny rabbit'). However, it can be incredibly dangerous to milk a jackalope, and any attempt to do so is not advised. A peculiar feature of the milk is that it comes from the animal already homogenized on account of the creature's powerful leaps.

Douglas, Wyoming has declared itself to be the Jackalope capital of America because, according to legend, the first jackalope was spotted there around 1829. A large statue of a jackalope stands in the town center, and every year the town plays host to Jackalope Day, usually held in June. Jackalope hunting licenses can be obtained from the Douglas Chamber of Commerce, though hunting of jackalopes is restricted to the hours of midnight to 2 a.m. on June 31.

jackalope
The Warrior Rabbit
Douglas Herrick, a long-time resident of Douglas, Wyoming, is often credited with popularizing knowledge of the Jackalope. In the 1930s Douglas and his brother Ralph began selling mounted Jackalope heads to the public, and these became wildly popular. Examples of their work can be found in many bars and homes throughout the United States. Jackalope postcards also became a popular Western souvenir. Douglas Herrick died on January 6, 2003 at the age of 82.

The jackalope is now most commonly sighted in the states of Colorado, Wyoming, and Nebraska. However, the jackalope does appear to have a European cousin, which in Germany is known as the wolperdinger. In Sweden, a related species is called the skvader."

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