I don't know how it originated, but the idea that cuckolds go to heaven is apparently an old English proverb/saying, not one that was invented by Byron. _A Dictionary of Sexual Language and Imagery in Shakespearean and Stuart Literature,_ by Gordon Williams, gives a number of similar examples in the entry for "Cuckolds are Christians":
> Tilley has 'In rain and sunshine cuckolds go to heaven' (R12; the thought occurs from 1591, but this form is cited from 1659). The simplified " _Cuckolds go to Heaven_ ' occurs in Spinke, _Quackery Unmask'd_ (1711) 8; and Leanerd, _Rambling Justice_ (1678) Epil. declares: 'both Fools and Cuckolds go to Heaven'.
(p. 342)