As far as we know, the earliest example of the nursery rhyme is in Nancy Cock’s Pretty Song Book for All Little Misses and Masters, circa 1780.  Here are the opening lines: “Taffy was a Welshman, Taffy was a thief, / Taffy came to my house and stole a piece of beef.” The name “Taffy” may come from “Dafydd,” a Welsh name related to “David,” and the Taff, the river in Cardiff.