MERCUTIO:Come, we burn daylight, ho!
ROMEO: Nay, that’s not so.
MERCUTIO:I mean, sir, in delay.
We waste our lights in vain, light lights by day.William Shakespeare (1564-1616) English dramatist and poet
Romeo and Juliet, Act 1, sc. 4, l. 44ff (1.4.44-47) (1595)
(Source)
Other sources give the last line as "... like lamps by day."
Shakespeare is the earliest written source of the phrase "burn(ing) daylight." He used it again two years later in Merry Wives of Windsor (2.1), where Mistress Ford says, "We burn daylight" (without Mercutio's explanation).