The owner of our local Indian restaurant said it was created by the Chinese that came over to work in the leather industry since the Indians couldn't. They wanted to replicate some of their chinese dishes but had to use the Indian ingredients and boom - gobi manchurian.
That's what he says anyway - and he's from India. So take that with some salt or not...
Yes, in Calcutta, no?
Edit: I looked it up, apparently it was invented in Mumbai, not Calcutta. Calcutta does have a lot of intersting Indian/Chinese "fusion" dishes.