From Pat McNamara’s blog:

According to this anti-Catholic pamphlet issued in the 1920′s, they did. In the years following the Civil War, every time a wave of anti-Catholicism engulfed the United States (which it frequently did into the 1920′s), some person or group published a leaflet, booklet, even a book, claiming that the Vatican was to blame for the President’s death. Read more.