I caught one rebroadcast on SW in which he told of the original inspiration.
Shep's father, along with a friend, picked up extra cash by selling fireworks before the Fourth. One evening, Shep's at the stand, and a drunk businessman, showing off for his girlfriend/mistress, buys the biggest rocket they have, and sets it off nearby.
The guy's reactions weren't as quick as the fuse, and his jacket sleeve was scorched or charred.
"Dago" does refer to Italian, but at that time, Italian fireworks were not only the biggest, but top-of-the-line as well.
Well worth tracking down a version.