Mencken’s original words are from Prejudices: Second Series by H. L. Mencken, Chapter 4: The Divine Afflatus, Borzoi: Alfred A. Knopf, New York: 1920. (View at Google Books).

This quotation is often paraphrased to something along the lines of “Every complex problem has a solution which is simple, direct, plausible—and wrong” and is sometimes attributed to Mark Twain.