I can see why you were having a problem pinpointing this one. It's a bit strange in that for some reason it doesn't appear in run-of-the-mill searches. But I like a challenge and found it. The correspondence, Fremont to Lincoln, dated Sept. 8, 1861, appears in the O.R. in Series 1, Volume III, pp. 477-478. That volume of the O.R. was first published in 1881, I think.

If you're like me and like to go the the very first time ever being published then look for the Report to the Joint Committee on the Conduct of the War, 37th Congress, 3rd Session, Part III, pp. 151-152. It this wasn't the first time, it's getting close. This one was published in 1863. Interestingly, the O.R. has Fremont's correspondence dated Sept. 8, 1861, while the Congressional Report has it dated Sept. 3, 1861. In being typeset for publishing, different sets of eyes seemed to have seen the 8 as a 3, or vice versa. This one appears to be the first time published in book form for relatively broad distribution. I would suspect it appeared in print in newspapers in 1861.