This New York Times article explains the origin of the fortune cookie.

"Some 3 billion fortune cookies are made each year, almost all in the United States. But the crisp cookies wrapped around enigmatic sayings have spread around the world. They are served in Chinese restaurants in Britain, Mexico, Italy, France and elsewhere. In India, they taste more like butter cookies. A surprisingly high number of winning tickets in Brazil's national lottery in 2004 were traced to lucky numbers from fortune cookies distributed by a Chinese restaurant chain called Chinatown.

But there is one place where fortune cookies are conspicuously absent: China.

Now a researcher in Japan believes she can explain the disconnect, which has long perplexed American tourists in China. Fortune cookies, Yasuko Nakamachi says, are almost certainly originally from Japan."