In the book version of:
The Picture Of Dorian Gray, Ch. 3
Ward, Lock & Co., 1891
In the story the comment is made in general conversation by Lord Henry at a lunch given by Lady Agatha.
In the earlier magazine version in:
Lippincott's Monthly Magazine Vol. XLVI, No. 271, July [June 20] 1890, pp. 3-100.
The quotation does not appear here as originally published in thirteen chapters.
In the play:
A Woman of No Importance, 1894. Act 1.
MRS. ALLONBY. They say, Lady Hunstanton, that when good Americans die they go to Paris.
LADY HUNSTANTON. Indeed? And when bad Americans die, where do they go to?
LORD ILLINGWORTH. Oh, they go to America.