The word 'snuff' first appeared in print in 1874 in the 5th edition of JC Hotten's Slang Dictionary but it was most likely in use for hundreds of years prior to that.
The first use of the term 'snuff film' was in Ed Sanders' 1971 book The Family: The Story of Charles Manson's Dune Buggy Attack Battalion where he claimed The Manson Family had filmed the murders they committed.