Green’s Dictionary of Slang

an expression of incredulity, shock; usu. in phr. You should have seen your face – it was a study!

1849		A. Harris Emigrant Family I 205: ‘You seem in a study, old man,’ said Beck. [...] ‘So would you be, if you’d heard what I have.’.
1901		Bulletin (Sydney) 27 Jul. 14/2: For a moment Griffin’s face was a study.