How about this recipe from The American Woman's Cookbook published in 1938:
Roast Squirrels
Ingredients:
3 small squirrels
3/4 cup salad oil
1/4cup lemon juice or vinegar
2 cups breadcrumbs
1/2 cup milk or cream
1/2 cup diced & sauteeed mushrooms
1/2 tsp salt
1/8 tsp pepper
1/2 tsp onion juice
4 tbsp olive oil or bacon fat
1 tsp worcesterchire sauce
Paprike
Dress & clean squirrels. Wash in several waters and dry. Cover with salad oil mixed with lemon juice and let stand for 1 hour. Combine breadcrumbs, with just enough milk or cream to moisten, mushrooms, salt, pepper and onion juice. Stuff the squirrels with this mixture, skewer and truss. Brush with olive oil or bacon fat and roast uncovered in a slow oven (352F) 1 1/2 to 1 3/4 hours or until tender. Baste every 15 minutes with fat from the bottom of the pan. When tender, make a gravywith remaining broth, adding Worcestershire sauce and paprika to taste. Serve gravy in a separate dish. Serves 6.
Oh and in case you're wondering how to skin & dress a squirrel, there are instructions for that too:
Cut of fthe forefeet at the first joint, cut the skin around the first joint of the hind leg, loosen it and with a sharp knifeslit the skin on the under side of the tail. Loosen the skin and turn it back until it is removed from the hind legs. Tie the hind legs together and hand the squirrel to a hook by this fastening. Draw the skin over the head, slipping out the forelegs when they are reached. Cut off the head and thus remove the entire skin. Wipe with a damp cloth. Slit down the front and remove the entrails, saving heart and liver, and wipe carefully inside. Wash imside and out with acidulated water, using 1 tablespoon vinegar to each cup of water. Rinse and wipe thoroughly. If blood has settled in any prt, cut with the point of a knife where it is black and soak in warm water. Skewer firmly between the shoulders, draw the legs close to the body and fasten with the skewers.