E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
means a torchlight procession (from the Latin, funis, a torch), because funerals among the Romans took place at night by torchlight, that magistrates and priests might not be violated by seeing a corpse, and so be prevented from performing their sacred duties.
Funus [a funeral], from funes or funalia [torches] . . originally made of ropes.Adams: Roman Antiquities (Funerals).