Phyllis: Neff is the name, isn't it?
Walter Neff: Yeah. Two "F"s, like in Philadelphia, if you know the story.
Phyllis: What story?
Walter Neff: The Philadelphia Story.
Um.... obviously "Philadelphia" doesn't have two "f"s, in fact it doesn't even have one. What does this mean?
I've seen things that would make you want to write a book on how to puke.
I've wondered that myself. My hunch is that it was a running joke at the time (the film PHILADELPHIA STORY came out in 1940). Comedy being king on radio, maybe Bob Hope or Fred Allen, or somebody like that, made a remark about PHILADELPHIA STORY with two F's, and it caught on. Or maybe it was simply a line thought up by the screenwriters, Billy Wilder and Raymond Chandler.
After all that musing, I have no answer for you. Anybody else?