The chant of "Who Dat?" originated in minstrel shows and vaudeville acts of the late 1800s and early 1900s, and was then taken up by jazz and big band performers in the 1920s and 30s.
The first reference to "Who Dat?" can be found in the 19th Century. A featured song in E.E. Rice's "Summer Nights" is the song "Who Dat Say Chicken In dis Crowd", with lyrics by poet Paul Laurence Dunbar.<1> A common tag line in the days of Negro minstrel shows was: "Who dat?" answered by "Who dat say who dat?" Many different blackfaced gags played off that opening. Vaudeville performer Mantan Moreland was known for the routine.<1> Another example is "Swing Wedding," a rarely shown 1930s Harmon-Ising cartoon musical, which caricatured Fats Waller, Cab Calloway, Bill "Bojangles" Robinson, Ethel Waters, and the Mills Brothers as frogs in a swamp performing minstrel show jokes and jazz tunes. The frogs repeatedly used the phrase "who dat?"
In the swing era, "who dat" chants back and forth between the band and the band leader or between the audience and the band were extemporaneous. That is, there was no one specific set of words except for the two magic ones.
"Who Dat?" Lyrics from 1937:
Who dat up there who’s dat down there
Who dat up there who dat well down there
Who’s dat up there, sayin’ who’s dat down there
When I see you up there well who’s dat down there
Who dat inside who’s dat outside
Who’s dat inside who dat well outside
Who’s dat inside, singin’ who’s dat outside
When I see up there well who’s dat out there
Button up your lip there big boy
Stop answerin’ back
Give you a tip there big boy
Announce yourself jack
Who dat up there who’s dat down there
Who dat up there who dat, well down there
Who’s dat up there, singin’ who’s dat down there
When I see you up there you bum
Well who’s dat down there
Who dat
Staged minstrel skits had frightened black people saying "who dat" when they encountered a ghost, or someone imitating a ghost. Then, the "who dat"..."who dat say who dat"...skit would play itself out. This skit was done frequently in short reels from the 1930s - 1950s and in some early TV shows too. Even the Marx Brothers had a "who dat" routine, which they included in their film A Day at the Races.<1> Often, a ghost was called a "who dat." An animated character, now banished to the archives as being racist, MGM's Bosko had such an encounter in a toon called "Lil Ol Bosko in Bagdad" in 1938.
"Who Dat?" became a familiar joke with soldiers during World War II.
Back in WWII, US fighter squadron pilots would often fly under radio silence. But things get lonely up there in the cockpit, so after a while there'd be a crackle of static as someone keyed his mike. Then a disembodied voice would reply, "Who dat?" An answer would come, "Who dat say who dat?" And another, "Who dat say who dat say who dat?" After a few rounds of this, the squadron commander would grab his microphone and yell, "Cut it out, you guys!" A few moments of silence. Then... "Who dat?"
http://en.wikipedia.org/wiki/Who_Dat%3F===