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"I can't tell whether or not there's going to be a Singularity. I don't really believe the rapture of the nerds stereotype..."
- Charles Stross

Prison Planet (Penal Settlement)  
  A prison so far from Earth.  

Probably the earliest reference to the idea of a prison planet.

"...for the conspirators there remained nothing but hopeless exile on Inferno, the Doom Planet. It was well called Inferno, for no earthly penal settlement could have exceeded it in horrors. The outermost member of the solar system, lying far beyond Pluto, it traversed so immense an orbit that it was believed to complete it only after a period of thirty thousand years... This was the destination of the prisoners, because exile to Inferno was an hundredfold worse than death, The very name conveyed unspeakable horror.
Technovelgy from Revolt on Inferno, by Victor Rousseau.
Published by Miracle Science and Fantasy Stories in 1931
Additional resources -

Compare to the asteroid prison from One Against the Legion (1939) by Jack Williamson, the Alcatraz of Space from Reunion on Ganymede (1938) by Clifford Simak, the Moon as prison from The Moon is a Harsh Mistress (1966) by Robert Heinlein, zero-time jail from A World Out of Time (1976) by Larry Niven and Brainlock from Mona Lisa Overdrive (1988) by William Gibson.

A variation on "prison planet" is the phrase "space prison". The first use of the phrase "space prison" was probably in "Crossroads of Space" by Arthur Stangland in 1932.

"Thoroughbreds of Earth they were, incarcerating themselves in this space prison, making it possible for ships to make the two billion-mile trip without using too much valuable space for fuel."

However, Tom Godwin was probably the first to use it to describe a real place, as opposed to using it as a metaphor, in his novel Space Prison, published in 1960.

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Additional resources:
  More Ideas and Technology from Revolt on Inferno
  More Ideas and Technology by Victor Rousseau
  Tech news articles related to Revolt on Inferno
  Tech news articles related to works by Victor Rousseau

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