The noun sugar daddy denotes a rich older man who lavishes gifts on a young woman in return for her company or sexual favours.

In 1923, a murder brought to the forefront of the news and popularised the earlier form of this word, heavy-sugar daddy; the earliest instance that I have found is from The Evening Times (Sayre, Pennsylvania) of Wednesday 28^th March of that year:

Stotesbury’s Son-in-Law
Dorothy King’s “Daddy”

John Kearsley Mitchell, son-in-law of E. T. Stotesbury, multimillionaire of Philadelphia, has been revealed as the mysterious “Mr. Marshall,” who was the “heavy sugar daddy” of Dorothy Keenan King, New York model, who was chloroformed to death in her New York City apartment.

Much has already been written about the murder of Dorothy King (born Anna Keenan – ?1894-1923). From a language perspective, I am only interested in the words heavy, sugar, baby, papa, daddy and sweetie, and their combinations, as used and defined in the following passage from a biography of Anna Keenan published on Wednesday 21^st March 1923 in the Salisbury Evening Post (Salisbury, North Carolina); Anna was, says this newspaper, a very pretty Irish girl who in 1912, at the age of eighteen, married Eugene Irving Oppell, a chauffeur aged twenty-six, who left her after a few months; Anna (or Dorothy, as she was beginning to call herself) dropped the hated name of Oppell and was occasionally employed as a model for suits and gowns; the Salisbury Evening Post then explains:

An accident changed her from just a “good-time girlie” to one of Broadway’s best known “heavy sugar babies.”
A “heavy sugar baby,” for the benefit of those whose world is not bounded by 42d Street, Fifth Avenue, 57th Street and Eighth Avenue, is a girl who has mastered the art of separating men from large quantities of “sugar,” i.e., money or things that it will buy.
                                                  “Papa,” “Daddy” and “Sweetie”
The “heavy sugar baby’s” men friends, according to the idiom of Broadway’s half-world, are divided into three classes—the “papa,” the “daddy” and the “sweetie.” The “papa” is an elderly admirer with sugar, lots of sugar. “Daddy” has just as much, but is younger. The “sweetie” is not so strong on sugar, but very strong on love—or what passes for it in the world bounded above. Once in a blue moon a girl is lucky enough to find that perfect combination, the “heavy sugar sweetie,” and then ambition’s highest summit is reached.

The Salisbury Evening Post then tells how, by “accident”, she met “another woman”, who

introduced Dorothy to a lot of nice, rich men, just the right material for “papas” and “daddies.” The nice, rich men took to Miss King immediately. (The King was her mother’s maiden name and sounded nicer than Keenan.) It wasn’t long before Dorothy was on the road to prosperity. Swiftly she learned the ways of making “paps” [sic] and “daddies” feel that a nice little girl really ought to have a new gown, or a new bracelet, or a new something.

Following the murder of Anna Keenan, several newspapers published a Broadway Glossary; for instance, The Evening Journal (Wilmington, Delaware) of Wednesday 28^th March 1923:

Here are striking examples of the weird vocabulary possessed by people of Broadway’s half-world, as disclosed in the investigation into the murder of Dorothy King, beautiful model:
Butterfly—Girl who lives the night [life] of cabarets.
Good-time girlie—Butterfly before she has found sugar.
Sugar—Money.
Angel—A man with sugar; any age.
Heavy-sugar baby—Girl coated with sugar: one who has found out how to separate men from large quantities of money or things it will buy.
Heavy-sugar guy—The heavy sugar baby’s victim.
Where the sugar blows—Live wire resorts.
Papa—Elderly admirer with lots of sugar.
Daddy—Not as old as a Papa, but with just as much sugar.
Sweetie—Man with no sugar, but lots of “love.”
Buddie—Same as Sweetie, but more of a business associate than lover.
Heavy sugar sweetie—A rare and perfect combination; love plus sugar.
Gold-digger—Heavy sugar baby not afraid to admit it.
Sap—Private term for one who gives up heavy sugar.
Come-on stuff—Business of vamping heavy sugar guy for sweetie’s sake.