According to the OED, the term dates back to 1922, when Sinclair Lewis used it in Babbitt. I tracked down the passage:
"They and their set worked capably all the week, and all week looked forward to Saturday night, when they would, as they expressed it, “throw a party;” and the thrown party grew noisier and noisier up to Sunday dawn, and usually included an extremely rapid motor expedition to nowhere in particular."
From what I can gather, it seems Lewis used it with the idea of "to toss" in mind, which principally means:
1) [ with obj. ] throw (something) somewhere lightly, easily, or casually
Additionally, it's used as a colloquial term within the passage itself: "as they expressed it, 'throw a party.'"
As defined now, the verb "to throw" includes:
6) [ with obj. ] give or hold (a party).
(Definitions from New Oxford American Dictionary)