Certainly there is a connection with the Gaelic, and I'm not enough of a linguist to know which came first, the chicken or the peg, but there are unexpected correspondences between seemingly unconnected languages, as with the Welsh for 'church', which is 'eglwys', very like the French 'eglise', which is ultimately from the Greek 'ecclesia'. There is almost certainly a straight forward explanation for that one, but with Peggy I expect it's one of those situations where there are several possibilities and we shall never know for sure.