TLDR This belief doesn't come from a myth it first appeared in Wizard of Oz.
I think the first time this belief was stated was in the the Wizard of Oz rather than in any myths. The belief probably comes from older myths/customs surroundin witches that were drawn upon to create this idea for the Wizard of Oz.
1) Water used to find witches. This took 2 forms....
As a follow-up to my (almost) namesake @Thom .
And to @Spencer
It is not specifically stated that they burn in water they are only afeared to cross it.
Tim O 'Shanter's poem says
Ah, Tam! ah, Tam! thou'll get thy fairin! In hell they'll roast
thee like a herrin! In vain thy Kate awaits thy comin! Kate soon
will be a woefu' woman! Now, do thy ...
Romanian witchcraft is (not surprisingly given the religiosity of the country) rooted in Christianity, which in its turn copied the principles of a blood sacrifice and scapegoating from Judaism. Christianity and Judaism are strongly influenced by principles of blood magic.
Middle Eastern ancient religions quite often demanded bloodshed to mollify the gods. ...
This study should answer your question:
The wizards of the violet flame. A magical mystery tour of Romanian politics - Journal for the Study of Religions and Ideologies
It presents the manifestations of irrational practices in recent Romanian politics. Providing a short history of the mystical and the occult in Romanian politics, this research uses as a case ...