Okay. Where does it come from, then?

No one knows for sure, of course, but Philip Hiscock, a folklorist at Memorial University in Newfoundland, argues that the rhyme likely originated as a way of skirting Protestant bans on dancing:

"Adolescents found a way around the dancing ban with what was called in the United States the 'play-party.' Play-parties consisted of ring games which differed from square dances only in their name and their lack of musical accompaniment. They were hugely popular, and younger children got into the act, too. Some modern nursery games, particularly those which involve rings of children, derive from these play-party games. 'Little Sally Saucer' (or 'Sally Waters') is one of them, and 'Ring Around the Rosie' seems to be another. The rings referred to in the rhymes are literally the rings formed by the playing children."

Ian Munro "Ring around the Rosie" Mini-FAQ
link thru wordorigins