“The story was that ‘Meg’ the witch or fortuneteller, was driven out of the village and lived near this wall, or near the Nelson Monument, and that the wall was named after her. But ‘Meg’ is probably one of the usual excuses offered in clerical-medieval days to explain away the credit for remarkable works made by primitive, or pagan, man...........’Meg’ however, is also Greek for big, or great, i.e megalith for big stone.
From the ‘Sheffield Clarion Ramblers’ 1942-3 by G.H.B Ward.