@Richman I don't know about the connotations in Japanese culture specifically, but in all forms of Japanese fictional media and literature, they have made pretty big deals out of holding hands. It's like showing signs of intimacy.
And people from the west have taken that nervousness they see in anime, manga, and novels, with all the blushing and hesitance it entails, and blew it up into basically "handholding = lewd"
I mean really, with how much blushing, stuttering, and awkward tension that appears when one side tries to request or take the initiative when it comes to handholding in anime/manga, you'd think that they were asking to have sex or something. I guess someone saw that, made a link, and that's where it came from?