The exact origins of cream horns, also known as lady locks, are not clear. However, it is believed that they were first created in Europe, possibly in Austria or Germany, in the 18th or 19th century. The name "cream horn" is believed to have originated in the United States, where the pastry is commonly known by this name. In other parts of the world, it may be called by different names, such as "lady locks" or "choux à la crème."