Sausages wrapped in bacon have varous names as a dish, including "pigs in blankets" and "devils on horseback".
The interesting item in this instance is the origin of the devils on horseback name. It stems from Cornwall in the south of England at the turn of the last millenium, where Norman raiders would disguise themselves is suits of armour made by layering rashers of bacon.
This armour had many advantages; Primarily it's grotesque appearance was used to frighten villagers. Then, when the job was done, the armour could be cooked and eaten. Protection was roughly in the same class as leather armour depending on the thickness of the bacon.
"Devils on horseback" was the nickname of these bacon-clad warriors.
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