I’ve always wanted it to be a quote by J. J. Thompson in reference to his pudding model of the atom though I’m pretty sure its not. Also, he turned out to be wrong so the proof wouldn’t be in the pudding at all – it would be in Rutherford’s gold foil.
I believe there is a longer version that says “The proof of the pudding is in the tasting” – basically saying you can’t judge a book by it’s cover. I guess this got shortened to “the proof is in the pudding”?