Most stories attribute the birth of the custom to the British Royal Air Force (RAF), with the ritual eventually spreading to the U.S. Air Force. One popular origin tale goes like this:
Sometime during World War II, the Royal Air Force decided that their pilots needed to be more civilized and gentlemanly. As part of this etiquette training, pilots were required to take piano lessons. And they all hated it—so no one was surprised when the building the piano was in mysteriously caught fire, reducing the instrument to a pile of ashes, strings, and keys. The act of rebellion quickly became a tradition among pilots.
In the video below, RAF Lt. Col. James Radley gives both potential origin stories before a piano burn at the Maxwell Air Force Base in Alabama. The piano was set alight to commemorate the 75th anniversary of the Battle of Britain: