E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
What will Mrs. Grundy say? What will our rivals or neighbours say? The phrase is from Tom Mortons Speed the Plough. In the first scene Mrs. Ashfield shows herself very jealous of neighbour Grundy, and farmer Ashfield says to her, Be quiet, wull ye? Always ding, dinging Dame Grundy into my ears. What will Mrs. Grundy zay? What will Mrs. Grundy think?