The cookies were originally made in Palermo, which is the capital of Sicily and they were named after Queen Margherita di Savoia.  Other than this it is hard to find historical accounts of this cookie recipe. We know that Sicily was conquered and occupied by many different countries and cultures over the years. One of the cultures that influenced Sicilian cuisine is Arabic and the Sicilian word for sesame seeds is "giuggiulena" which derives from the Arabic word juljulàn (or giolgiolan).