I believe this nursery rhyme was referring to Mary Queen of Scots, or at least that is what I have always heard. Mary had grown up in France, and when she came to Scotland, many of her ladies in waiting were French. Those were the "Pretty Maids." I am sure silver bells and cockle shells refer to something as well. Perhaps cockle shells refers a cod piece, thus either to the Earl of Bothwell, the man Mary ran away with and then went to war against her husband with, or it could refer to her husband who was unfaithful to her. Silver bells could refer to church bells, since Mary, raised in France, was a Catholic.
Other interpretations say it refers to Mary I of England. The cockle shells and silver bells were torture devices and the silver bells, again represented the Catholic Church.
This is all just my guess from having read a little bit long ago. Wikipedia also have some information: