[whoopdedo]

I've always suspected that the myth is due to the Bible. Mark 5:11-13

> Now there was there nigh unto the mountains a great herd of swine feeding. And all the devils besought him, saying, Send us into the swine, that we may enter into them. And forthwith Jesus gave them leave. And the unclean spirits went out, and entered into the swine: and the herd ran violently down a steep place into the sea, (they were about two thousand;) and were choked in the sea.

As noted, migrating lemmings will congregate at the edge of a cliff where some unfortunate clumsy ones will fall off. Someone seeing this would surely be reminded of the Bible passage and be tempted to imagine the creatures had been driven to suicide by demons.