Great question. I didn't come across any explanation for this, but I did dig up some other names for cotton candy around the world:
France: Barbe a papa ("Papa's beard")
Greece: μαλλιά γριά του ("old lady's hair")
Great Britain: Candy floss
France: Barbe a papa ("Papa's beard")
Greece: μαλλιά γριά του ("old lady's hair")
Great Britain: Candy floss