A proverbial expression perhaps of Scottish origin. The original Gilderoy would seem to have been a Scot who got into trouble. The Rev. E. Cobham Brewer (Notes and Queries, 7 S. v. 357) quotes from an old ballad:—

        Of Gilderoy sae fraid they ware,
  They bound him mickle strong,
Tull Edenburrow they led him thair,
  And on a gallows hong;
They hong him high abone the rest,
  He was so trim a boy.
  He adds that Gilderoy hung so high, he looked like a kite. [But why “Gilderoy’s kite?”]

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1869.  She [Italy] squandered millions of francs on a navy which she did not need, and the first time she took her new toy into action she got it knocked higher than Gilderoy’s kite—to use the language of the Pilgrims.—Mark Twain, ‘The Innocents Abroad,’ chap. xxv.

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