One of Gary Larson's Far Side cartoons shows the Lone Ranger looking in an Indian dictionary and discovering that kemosabe is "an Apache expression for a horse's rear end".
Other conjecture...
Another suggestion has been that Tonto, (whose name means "stupid" according to some interpretations) responded by calling the Lone Ranger "qui no sabe" which roughly translates from Spanish as "he who knows nothing" or "clueless."