I checked my copy of "The Curious Lore of Precious Stones" a 1913 treatise on the subject (availabe at Amazon.com).

The author credits 2 sources for the unluckiness of the stones.

1) the stones are not easy to cut without breaking, so many jewelry makers dislike the stone for losing them profit, and this prejudice carried over into the mainstream.

and

2) and a "careless reading of Sir Walter Scott's Anne of Geierstein" and the tale of Lady Hermione. Lady H wore an enchanted opal in hair, which changed color with her moods (a 19th century mood ring?). When the enchantment was broken (the stone was sprinkled with holy water) -- Lady H fell ill and was nothing but a pile of ashes the next day.