According to
http://webspace.webring.com/people/cc/cash_gorman/copyright1.html there is a record of an issue #1 of this title being copyrighted at the Library of Congress (record B422614).
According to
http://mysterymen.tripod.com/greats/harvey.htm issue #1 was a promotional giveaway comic. Possibly an ashcan?
Library of Congress records:
Catalog of Copyright Entries, Part 2, Periodicals, New Series, Volume 34, 1939, Number 4.
Champion comics,© Worth pub. co.,inc.
v. A, 1939, no.
1, Oct. © Aug. 1; B 422614 (means listed as volume A, August 1, 1939 is the publication date. "B" indicates second class periodical, and 422614 is the copyright number).
v. 1, 1939, no.
2, Dec. © Oct. 5; B 432170 (volume 1, October 5, 1939 is publication date, "B" indicates second class periodical, and 432170 is the copyright number.