The origins of this quote if from Major-General Sir John Kennedy. At the time of his recollection he was Director of Military Operations & Plans in the War Office.
He mentions it in his own accounting of the war titled "The Business of War: The War Narrative of Major-General Sir John Kennedy"
Here's the account from the afternoon of 11 October according to Sir Kennedy:
It was now 3.45 p.m., and the Prime Minister was looking sleepy. He said he always went to bed in the afternoon, when he could, and took all his clothes off, and slept for an hour. this enabled him to continue work until 2 a.m. or 3 a.m. He considered an afternoon sleep very important unless, of course, one was young, and there were many advantages in adoption the recumbent position while working. with a mournful expression, he bade us good-bye, remrking, as he did so, 'Yes, I am afraid Moscow is a gone coon.' Then he stumped along the passage to his bedroom.
Slang from the 19th Century.
Like “dead duck,” or a “gone goose.”
Means that someone is in a hopeless situation.