This term is of an obscure / unknown origin, but is usually considered an American expression. However, the first recorded use of the word ‘gussy‘ in the Oxford English Dictionary comes from a British source, Morris Marple’s Public School Slang of 1940.
At the end of the 19th Century, both in Australia and in America, the term was used to denote a weak or effeminate person.
Or, the term could be associated with American tennis player “Gorgeous Gussie” Moran who is best remembered for appearing at Wimbledon in 1949 wearing frilly panties — which caused considerable interest and controversy.