I guess this term comes from Harry Houdini, who made an art out of escaping. But this could be a false etymology. Like my brother was saying last night, we often mistake phrases for things that are of more recent history. The tv show American Slang gets stuff like that wrong all the time.
I wonder if people who change jobs a lot are escape artists also. Or politicians and bankers who evade criminal prosecution.
It doesn't seem an especially good talent, if one wishes to be considered a responsible human being. You can't be good at disappearing and also considered reliable. Not even in Iceland, I don't believe.