A double blow or setback.
A whammy was originally an evil influence or hex. It originated in the USA in the 1940s and is associated with a variety of sports. The first reference to it in print that I can find is in the Syracuse Herald Journal, October 1939:
"Nobody would have suspected that the baseball gods had put the whammy on Myers and Ernie when the ninth opened."
'Double whammy' emerged not long afterwards, as seen here in the Oakland Tribune, August 1941, in an interview with the eccentric boxing manager Wirt Ross:
"Shore there's only one way to beat Joe Louis ... No man can lick 'im, it takes a syndicate and that's what I got. I've been taking a course in hypnotism from the famous Professor Hoffmeister of Pennsylvania. When I gave my big police dog the evil eye like this he liked to collapse, went out and nearly got himself killed by the neighbour's pet poodle pooch. Professor Hoffmeister says I don't get the double whammy to put on human beings until Lesson 9."
Ross was well-known for his tall tales and flowery language. It is quite possible that he coined the term in that interview.
'Double whammy' is often associated with Al Capp's Li'l Abner cartoon strip, which featured the phrase several times. In that it referred to as an intense stare which had a withering effect on its victims; for example, this piece from Li'l Abner July 1951:
"Evil-Eye Fleegle is th' name, an' th' 'whammy' is my game. Mudder Nature endowed me wit' eyes which can putrefy citizens t' th' spot!. There is th' 'single whammy'! That, friend, is th' full, pure power o' one o' my evil eyes! It's dynamite, friend, an' I do not t'row it around lightly! ... And, lastly - th' 'double whammy' - namely, th' full power o' both eyes - which I hopes I never hafta use."
The phrase came to be used widely, in the UK at least, during the Conservative Party's 1992 election campaign. The Tories used a poster to undermine the Labour Party. It contained the text "Labour's Double Whammy" and, on the boxing gloves, "1. More Taxes" and "2. Higher Prices". The poster proved to be a highly effective part of the campaign for the Conservatives - who won the subsequent election.
See other phrases that were coined in the USA.