first mention of Gone with the Wind in a movie?

I doubt it's a reference to the film, since Selznick was in no way tied to Columbia pictures, which made The Awful Truth. I'm pretty sure "gone with the wind" was an expression long before it was the title of a book.

I think it was intended to be a reference to the book, and a somewhat silly one.

The title of the book is taken from a poem written in the 19th century, called Non Sum Qualis Eram Bonae sub Regno Cynarae by Ernest Dowson. In spite of the Latin title, the poem is in English. (It means "I am not as good as I was under your reign, Cynara.")

The third stanza goes like this:
I have forgot much, Cynara! gone with the wind,
Flung roses, roses riotously with the throng,
Dancing, to put thy pale, lost lilies out of mind;
But I was desolate and sick of an old passion,
Yea, all the time, because the dance was long;
I have been faithful to thee, Cynara! in my fashion.

"Gone with the wind," or rather "went the way of the wind," was probably already an expression, and Dowson did not invent it, but he popularized it.

However, since Scarlett O'Hara, in the book does specifically wonder if her home, Tara, is still standing, or if it has "gone with the wind [ie, war] which had swept through Georgia," and the song in The Awful Truth refers to winding up with "no home at all; my dreams are gone with the wind," it could be a facetious reference to the book or the movie. Remember, that the movie was roundly predicted to fail, and that Selznick and MGM were ridiculed for buying the rights to it, and starting production.

On the other hand, it could just be a handy use of a popular phrase as an excuse for the wind effects.