E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Knots of May.
The childrens game. Here we go gathering nuts of May is a perversion of Here we go gathering knots of May, referring to the old custom of gathering knots of flowers on May-day, or, to use the ordinary phrase, to go a-Maying. Of course, there are no nuts to be gathered in May.