There are many stories for this...the question has been raised before. The one that Sir Arthur Conan Doyle and I belive is that it is an alliteration on the sound of a winchester rifle being cocked. I dont think it necessarily has a meaning.
Another is that it is based on Kyklos clan (when pronounce in greek it sounds mor like a u), which would be cycle, or ring clan.
Either way it translates as "bunch of rednecks in sheets overcompensating for their own inadequacies by ganging up on anyone they dislike." which would make for an unweildy acronym.