This is why Dan’s in MENSA and I’m not. I also tried to find the source of the piece and came up empty. The fact that BL lists zero sets for it doesn’t necessarily indicate that it never appeared in a set. One possibility – albeit unlikely – is that in the set it appeared it was incorrectly inventoried as a different but similar piece. I was able to quickly rule that one out. But another possibility was that it appeared in much older and/or rarer sets that nobody’s ever bothered to inventory for BrickLink, and for that I spent some time flipping through my Lego Collector’s Guide, and of course came up with nothing there either. So high five to Dan for good Lego detectiving.