The paper that appears to have introduced the term "softmax" is [Training Stochastic Model Recognition Algorithms as Networks can Lead to Maximum Mutual Information Estimation of Parameters][1] (1989, NIPS) by John S. Bridle.

 [1]: https://papers.nips.cc/paper/195-training-stochastic-model-recognition-algorithms-as-networks-can-lead-to-maximum-mutual-information-estimation-of-parameters.pdf