Meaning of 'She lost it at the Waldorf'

I was wondering if anyone can tell me the exact meaning and origin of the expression ' She lost it at the Waldorf'. Thanks

I googled and found a reference to a "risque" song.

It is indeed a risque song. However, the punch line at the end reveals that 'it' was her fur coat!

Old Bessie Smith song on the same track...

"If I can't sell it, gonna keep sittin' on it. You won't catch me givin it away!" She is referring to her couch or sofa.