From what I gather, the origin is uncertain, but it seems common sense that "if association with a bride and the high profile of the day did not attract a husband after two opportunities, then perhaps there was little hope" ( _Marriage Customs of the World_ 98).
In terms of pinpointing the locale of the superstition, I believe that the modern use of bridesmaids -- in the sense that they appear alongside the bride at the time of wedding -- stems perhaps from Biblical origins, at least if you believe Wikipedia, and so it makes sense that this superstition would crop up in Europe.
Further research is needed.