Kentucky mile

Why use "by a Kentucky mile", as in "He lost the race by a Kentucky mile", or "He missed by a Kentucky mile"? It seems to mean to fail by an extra-large margin, but why refer to a "Kentucky mile"?

"Country mile" is pretty easy to understand. A country mile would seem longer, especially when one is lost in the woods. I've never heard of Kentucky mile. Maybe because horse races can be won by inches, a Kentucky mile seems way longer than an ordinary mile.

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