Etymology

Corruption of Scots the real MacKay, this latter attested in 1856 as “A drappie o’ the real MacKay” (A drop of the real MacKay).^[1][2][3]

How “MacKay” became “McCoy” is unclear; first attested in the form “McCoy” in the US in 1908:

I took a good-size snort out of that big bottle [of furniture polish] in the middle....Have you none of the clear McCoy handy around the house?^[4]

The term is the subject of many folk etymologies, discussed at the Wikipedia entry.