Gone to Jericho. No one knows where. The manor of Blackmore, near Chelmsford, was called Jericho, and was one of the houses of pleasure of Henry VIII. When this lascivious prince had a mind to be lost in the embraces of his courtesans, the cant phrase among his courtiers was “He is gone to Jericho.” Hence, a place of concealment.
“And the king said, Tarry at Jericho until your beards be grown.”
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894