After further research, I suspect no source other than Derbyshire's text exists. If so, this would be just a very small slip in an excellent and well written text. I know I have made similar slips.
Here is my reasoning. First, Lebesgue published his first paper in 1898, three in 1899 and then two in 1900 (all most easily found in his collected works). None of these contain any references to the prime numbers:
- Sur l'approximation des fonctions, Bull. Sci. Math. 22 (1898), 278--287.
- Sur la définition de l'aire d'une surface, C. R. Math. Acad. Sci. Paris 129 (1899), 870--873.
- Sur les fonctions de plusieurs variables, C. R. Math. Acad. Sci. Paris 128 (1899), 811--813.
- Sur quelques surfaces non réglées applicables sur le plan, C. R. Math. Acad. Sci. Paris 128 (1899), 1502--1505.
- Sur la définition de certaines intégrales de surface, C. R. Math. Acad. Sci. Paris 131 (1900), 867--870.
- Sur le minimum de certaines intégrales, C. R. Math. Acad. Sci. Paris 131 (1900), 935--937.
So if Lebesgue stated that one was prime in 1899, it appears not to be in a published work of his. (This does not rule out lectures, interviews, works written about him by others...)
Second, all of the Internet references to this that we checked either cite Derbyshire, or were posted well after his work. For example, a friend of mine checked Wikipedia, and this statement about Lebesgue and unity appears in the English and Dutch entry for prime, but not the French, German, Spanish, Italian, Portuguese, Polish, Russian, Czech, or Swedish. In English it was added in 2006, after Derbyshire's 2003 text. In English only it is also found in the Wikipedia page for "Henri Lebesgue":
Is this proof Derbyshire's text is the source, absolutely not. Recall Derbyshire said that he can not recall his source, but that there was one. So if you can find a source that predates his text, I'd like to know; otherwise I think it may just have been a small transcription error while written this popular text. I have done the same myself.
As for the related question: who was the last mathematician of any importance who considered the number 1 to be a prime, my student and I settle on G. H. Hardy in our draft paper (http://arxiv.org/abs/1209.2007). Hardy's A Course of Pure Mathematics, 6th edition, 1933, presented Euclid's proof that there are infinitely many primes with a sequence of primes beginning with 1:
(This was changed in the next edition.) As discussed in our draft article, there is even a remnant of Hardy listing 1 as prime in the revised 10th edition of his text published recently.
We have a list of over 125 references pertinent to the question "is one prime" collected here: http://primes.utm.edu/notes/one.pdf