It is known that no nontrivial connected cover of $\operatorname{SL}(2,\mathbb R)$ admits a faithful finite dimensional linear representation (see, for example, page 143 in Fulton-Harris and Exercise 11.9 therein). I am looking for a reference with a proof of this fact and an information who observed it first.
EDIT: Textbook reference: Proposition 16.1.7 and Example 16.1.8 in Hilgert and Neeb Structure and Geometry of Lie Groups.