Excerpt from an online etymology dictionary (etymonline.com)
The use of the word in radio communication to mean "yes, I understand" is attested from 1941, from the U.S. military phonetic alphabet word for the letter -R-, in this case an abbreviation for "received." Said to have been used by the R.A.F. since 1938.
The military no longer uses Roger to mean 'R', it now uses Romeo