I've recently done some research on the Magnavox Odyssey,
the world's first video game console, and it appears that the term
"console" was never used for it during development or when it was
brought to market in 1972.
Looking at the early marketing materials, it appears to have
first been seen by the public on the TV show What's my Line in a
programme recorded on August 24th, 1972, where the main unit is
referred to as a "master control unit." This terminology is also used
in the 1972 8 mm promotional film used in dealer showrooms.
The first 1972 commercial doesn't even go this far, calling it
just an "electronic game simulator." This 1973 print
advertisement includes a section on the Odyssey where they
not only don't refer to it as a "console," but use "color TV consoles"
to refer to, clearly, televisions (and also stereo systems).
In the 2005 book Videogames: In the Beginning by Ralph Bear (the
inventor of the Odyssey) he refers to the Odyssey and other early
systems (such as the Coleco Telestar) as "consoles," but this appears
to be an achronistic use. P. 60 of the book reproduces a memo he wrote
on 3/30/71 about a meeting with Magnavox where the main unit is
referred to as an "electronics box."
The memo also says one of the people attending the meeting was "Gerry
Martin VP, Console Product Dev't," who was basically the one
responsible for licensing the original "brown box" from Sanders
Associates for Magnavox to redesign and market. On p. 59 Bear writes
For Magnavox, there was Gerald G. Martin. As the V.P. for Console
Products Planning, it was he who had taken the lead to bring TV
games into his product line.
I don't know if that has anything to do with the "electronics unit"
eventually and retroactively being termed a "console," though.