The Wizard of Oz (1902 musical)
The Wizard of Oz was a 1902 musical extravaganza based on "The Wonderful Wizard of Oz" by L. Frank Baum, which was originally published in 1900. Much of the original music was by Paul Tietjens and has been mostly forgotten, although it was still well-remembered and in discussion at MGM in 1939 when the classic film version of the story was made. Although Baum is the credited bookwriter, Glen MacDonough was hired on as jokewriter after Baum had finished the script.
Wizard of Oz experiment
A final point: Dr. Kelley's recollection of the coinage of the term is backed up by that of the late professor Al Chapanis. In their 1985 University of Michigan technical report, Green and Wei-Haas state the following: 
"The first appearance of the "Wizard of Oz" name in print was in Jeff Kelley's thesis (Kelley, 1983a, 1983b, 1984a). It is thought the name was coined in response to a question at a graduate seminar at Hopkins (Chapanis, 1984; Kelley, 1984b). "What happens if the subject sees the experimenter [behind the "curtain" in an adjacent room acting as the computer]?" Kelley answered: "Well, that's just like what happened to Dorothy in the Wizard of Oz." And so the name stuck." (Cited by permission.)