I’ve looked for the source on this for years. Finally, I found this reference and have posted it below. ~Steve
“On seeing several criminals being led to the scaffold in the 16th century, English Protestant martyr John Bradford remarked, ‘There but for the grace of God, goes John Bradford.’ His words, without his name, are still very common ones today for expressing one’s blessings compared to the fate of another. Bradford was later burned at the stake as a heretic.” From the “Encyclopedia of Word and Phrase Origins” by Robert Hendrickson, Facts on File, New York, 1997.