J.E. Lighter, Random House Historical Dictionary of American Slang (1994) confirms the view expressed by congusbongus (in the original post above) and by Hugo, Talia Ford, and Mari-Lou A (in their answers) that the popular association of bombshell with "exceedingly attractive woman" begins with Jean Harlow's turn as Lola Burns in Bombshell:
bombshell n. a strikingly sexy woman. [First cited occurrence:] 1933 Mahin & Furthman Bombshell (film): I see Lola Burns, the bombshell herself.
A copyright entry for the play that the movie is based on—Bombshell, by Caroline Francke—appears in the Library of Congress's Catalog of Copyright Entries (1932), with a copyright date of October 22, 1932. According to IMDb, the play wasn't produced prior to the release of the Jean Harlow film.
A search of U.S. newspapers in the Chronicling America database (which covers the period from 1835 through 1922) turns up several instance where a female character or a female performer or a group of female performers are identified as "bombshell." From an advertisement for performances at the National Hall, in the [Washington, D.C.] American Telegraph (May 15, 1851):
To conclude with the vaudeville of LOVE IN MASQUERADE. Aurelia, alias Bombshell ------ Mrs. M. Jones. Lucy --------------- Mrs. Cappell. Reserved seats 50 cents; Box seats 37 cts.; Gallery 25 cts.
From "Among Us Mortals, Drawn by W.E. Hill: The Burlesque Show" (a series of satirical drawings of people with fictional identities) in the New-York Tribune (April 1, 1917):
[Caption:] Lilly Romaine, soubrette on the programme as "The Little Bombshell of Joy," living up to her reputation.
From an advertisement for a performance by Flo-Flo and Her Perfect "36" Chorus, in the Ocala [Florida] Evening Call (February 2, 1920):
GORGEOUS GIRLS IN FEMININE FINERY[.] ITS EXHILARATING[,] INVIGORATING[,] INTOXICATING[,] REJUVENATING[.] A Bombshell of Youthful Beautiful Shapely Girlie Girls[.] Replete With Catchy Songs, Tuneful Music, Wit, Humor and Repartee[.] FULL OF PEP–LET'S GO[.] PRICES 77c, $1, $.150 and $2.00 Plus War Tax[.]
There is, in addition, this advertisement for a film at the Please-U Theatre described as a "melodramatic bombshell," from the [St. Johnsbury, Vermont] Caledonian-Record (July 18, 1921):
Maurice Tourneur Offers "THE BAIT" With Exquisite Hope Hampton[.] A Paramount Picture adapted from the stage play "The Tiger Lay." A melodramatic bombshell of love, romance, and mystery. The Lights of Paris! The Shadows of New York all blended in one long thrill. Great supporting cast, all the superb scenic artistry that Tourneur is famous for!
A Google Books search of the period 1900–1932 finds multiple instances in which bombshell is used figuratively to mean "shocking or situation-changing revelation or event," but only one in which an author equates a bombshell with a female human being—and in that one the implication is not of high-voltage sexuality but of tranquility-destroying unpredictability and rashness. From Christopher Morley, The Haunted Bookshop (1919):
"Well?" said Roger, as Mrs. Mifflin made no comment. "Don't you think it will be rather interesting to get a naive young girl's reactions toward the problems of our tranquil existence?"
"Roger, you blessed innocent!" cried his wife. "Life will no longer be tranquil with a girl of nineteen round the place. You may fool yourself, but you can't fool me. A girl of nineteen doesn't REACT toward things. She explodes. Things don't 'react' anywhere but in Boston and in chemical laboratories. I suppose you know you're taking a human bombshell into the arsenal?"
Roger looked dubious. "I remember something in Weir of Hermiston about a girl being 'an explosive engine,'" he said. "But I don't see that she can do any very great harm round here. We're both pretty well proof against shell shock. The worst that could happen would be if she got hold of my private copy of Fireside Conversation in the Age of Queen Elizabeth. Remind me to lock it up somewhere, will you?"
Given the paucity of woman-as-bombshell references in the decades before the film Bombshell appeared in 1933, it seems unlikely that any of the earlier instances noted above had a significant influence on popular usage before the Harlow film appeared. But if nothing else, they show that equating a woman with an explosive device did not originate with Caroline Francke in 1932.