A rabbit. So called from the provincial word bun, a tail. The Scotch say of the hare, “she cocks her bun.” Bunny, a diminutive of bun, applied to a rabbit, means the animal with the “little tail.”
“Bunny, lying in the grass,
Saw the shiny column pass.”
Bret Harte: Battle Bunny, stanza 1.
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Entry taken from Dictionary of Phrase and Fable, edited by the Rev. E. Cobham Brewer, LL.D. and revised in 1895.