The SW dial on my Fairbanks Morse 8A has a listing on the dial that says: TOKIO. Is this how they spelled Tokyo back in the 30's.

Dave,
I would not be surprised. Words from Far and Middle Eastern languages are presented to us in phoenetic English. They do get these English spellings changed every few decades, and seemingly without explanation. I have noticed that the words getting changed are from the country or culture that has become elevated in usage, for whatever reason, within our culture. It seams reasonable then, that pre-WW2 Tokio could become Tokyo. Say about 1945? A greater familiarity with the culture and language probably reveals the need for subtle changes in the phoenetic spellings to make them a more accurate representation.
And, I can't put my finger on where or when, but I feel sure I have seen "Tokio" before.
Jim