The story
From Pickadilly Hall, a house belonging to a tailor, Robert Baker, who specialized in a type of lace collar called a piccadill, possibly from conjectured Spanish *picadillo, from picado (“punctured, pierced”); compare 17th century Spanish picadura (“a similar lace collar”). Piccadilly attested as the London street name from 1695^(see quote); previously the main portion of the street (west of Sackville Street) was called Portugal Street (1692), after Catherine of Braganza. Piccadilly attested of the location from 1663^(see quote), Peccadillo a.1641, Pecadilly Hall a.1640ⁱᵇⁱᵈ, Pickadilly Hall 1623. All other uses appear to be derived from the London location or street name.
Etymology from Wiktionary, CC BY-SA 4.0.