"The show must go on" is a phrase in show business, meaning that regardless of what happens, whatever show has been planned still has to be staged for the waiting patrons. There is no evidence to suggest that it is the abbreviation of a longer phrase.

The saying and principle are traditional in the theatre, but they both originated in the 19th century with circuses. If an animal got loose or a performer was injured, the ringmaster and the band tried to keep things going so that the crowd would not panic because "it is a point of honour not to let the other players down by deserting them when no understudy is available".