In old books, people often use the spelling "to-day" instead of "today". When did the change happen? Also, when people wrote "to-day", did they feel, when pronouncing the word, that it contained two words, rather than a single concept?
Five minutes of research brings...
Similar constructions exist in other Germanic languages (cf. Du. van daag "from-day," Dan., Swed. i dag "in day"). Ger. heute is from O.H.G. hiutu, from P.Gmc. hiu tagu "on (this) day," with first element from PIE pronomial stem ki-, represented by L. cis "on this side."
The same applies to tomorrow and tonight, at least according to this dictionary.