The OED has a citation for this expression from 1877, some forty years before the publication of ‘His Last Bow’ in 1917.
colloquial (originally U.S.). to have been there (before): to have had previous experience of the activity or thing under review; to be fully conversant with or know something at first hand.
1877 Some reasons why I left off drinking whiskey, by one who has been there. Saturday Evening Post in J. R. Ware, Passing English of Victorian Era (1909) 24/1
1913 But I'm not a young girl. If it's a question of the male sex, I may say that I've been there before. A. Bennett, Great Adventure i. ii. 46
Oxford English Dictionary.
Here’s more context from the 1913 citation:
JANET. You may tell me that people who go to a matrimonial agency stand a chance of getting let in. Well, people who don’t go to a matrimonial agency stand a chance of getting let in, too. Besides, I shouldn’t give a baby a razor for a birthday present, and I shouldn’t advise a young girl to go to a matrimonial agency. But I’m not a young girl. If it’s a question of the male sex, I may say that I’ve been there before. You understand me?
Arnold Bennett (1913). The Great Adventure, page 46. New York: George H. Doran.
Here are two more examples also antedating ‘His Last Bow’:
“Don’t know so much about that,” muttered Sims. “It takes a clever man to hoodwink the British Navy. I’ve been there, and I know. A man doesn’t serve fifteen years in His Majesty’s marine without learning a few wrinkles.”
Hamilton Rae (1901). ‘A Little Surprise’. In The Royal Magazine, volume 6, page 420.
I’ve dashed this letter off in a rush and really intended to have a steno type it, but she’s busy and will be for some days. So I trust you’ll pardon me for sending you this scrawl! And you a busy editor! Oh, yes, I’ve been there too. Published a newspaper once. Never again!
Anon (1913). Letter to Adventure magazine, volume 6, number 4, page 223. Via Google Books snippet view.
Arnold Zwicky coined the phrase “recency illusion” for the phenomenon where a word or phrase is much older than one expects.