I had always thought up until now that it was just the name for a cat, as in "I come, greymalkin", as spoken by 1st Witch in Macbeth.
In my innocence, had never heard of such an item of "apparel" - but apparently originally worn in earlier centuries by prostitutes who had shaved to guard against lice, and now worn for "decorative" purposes, in various colours and shapes. Well...you learn something new every day....