About this yo-yo thing, according to my dad, who has a freakishly broad knowledge of the history of music in the 20th century, there are apparently several songs from 1929 or 1930 titled "Yo-Yo Blues."
Asked by murderballadeer
Pensacola News Journal, Florida, May 14, 1932

(That one was written by a 10 year old in Pensacola.)
Here’s lyrics from a 1929 song by the Memphis Jug Band called Memphis Yo Yo Blues:
I woke up this morning feeling sad and blue
Couldn’t find my yo-yo. Didn’t know what to do
Come home, Daddy. Mama’s got the yo-yo blues
I went downtown, called my daddy on the phone
He said, “Don’t cry, Mama. Daddy’ll bring your yo-yo home
Go back, Mama. Your daddy’s got you.” Come right on
If you don’t b'lieve I can yo-yo, watch me wind my string
Come home, Daddy, and make the yo-yo sing
Mama knows Daddy is kind of tight in everything
Bring your yo-yo. Wind the string around my thumb
Mama knows just how to make the yo-yo hum
Bring your yo-yo, Daddy, and we’ll have lots of fun
If your daddy can’t yo-yo, you better learn him how
Listen, women. I don’t mean to start no row
‘Cause ev'rybody is doing the yo-yo now, anyhow
