I don't think it needs to have been a thing that happened for it to serve its purpose; in fact, the fact that it is crazy to throw a baby out with the bathwater probably makes the point more strongly.
People definitely threw out bathwater before, so that part is clear. People making this analogy believe that others are prematurely tossing out ideas without paying any heed to the fundamentally good principles in those ideas. Thus, throwing out a precious baby with the dirty bathwater.
The implication, that they would be doing the equivalent of throwing out a baby, helps to underscore how obviously silly and objectionable their action would be.
TL;DR, the saying makes sense even if nobody ever threw a baby out with the bathwater.