I think the bourne shell copied # comments from csh, which had them first. When sh first implemented them, # comments only worked in scripts, not if you typed them at the shell (i.e. if isatty(0), then # wasn't special). The fact that the prompt came before comments, and that comments didn't work interactively really makes the story sound suspect!
I don't know the origin of # in csh, but I would guess it was chosen because it looks like a CPP directive.