cookie n. a screen, board, card, or cloth, cut with shapes or holes, used to throw a light pattern when shooting film or television; the light pattern thrown by such a device. Also cucoloris, cucolorus, cucaloris, kukaloris, kookaloris, cuke, coo-koo, kook, dapple sheet, ulcer, gobo. Etymological Note: A claimed etymology is that kukaloris is Greek for “breaking of light,” but there seems to be no evidence to support this, nor can the etymological claims in the 2001 cite below be verified. Another claim is that it is named after its inventor, a Mr. Cucoloris; however, this, too, lacks supporting evidence. (source: Double-Tongued Dictionary)
I think it’s more like “cookie cutter”, i.e they seem stamped out in the same way as one would make cookies in different designs.
That’s a logical theory, but there’s no evidence to support it, not even enough to mention it as a theory. I’m still looking, though.
(One theory I saw but also has zero evidence supporting it, was that “cookie” came first, then someone invented the word “cucaloris” which it was supposedly short for.)