Wiki has a good condensed explanation:
In the
Celtic languages, the word for the English nationality is derived from the word
Saxon. The most prominent example, often used in English, is the
Gàidhlig loanword Sassenach (
Saxon), often used disparagingly in
Scottish English/
Scots. It derives from the
Scottish Gaelic Sasunnach meaning, originally, "Saxon", from the Latin "Saxones". As employed by
Scots or
Scottish English-speakers today it is usually used in jest, as a (friendly) term of abuse. The
Oxford English Dictionary (OED) gives 1771 as the date of the earliest written use of the word in English.
Sasanach, the
Irish-language word for an Englishman, has the same derivation, as do the words used in
Welsh to describe the English people (
Saeson, sing.
Sais) and the language and things English in general:
Saesneg and
Seisnig. These words are normally, however, used only in the Irish and Welsh languages themselves.
Cornish also terms English
Sawsnek from the same derivation. Sixteenth century Cornish were recorded to use the phrase '
Meea navidna cowza sawzneck!' to feign ignorance of the English language.[SUP]
[4][/SUP]
England, in Gàidhlig, is
Sasainn (Saxony). Other examples are the
Welsh Saesneg (the English language),
Irish Sasana (England),
Breton saoz(on) (English,
saozneg "the English language", Bro-saoz "England"), and
Cornish Sowson (English people) and
Sowsnek (English language),
Pow Sows for 'Land [Pays] of Saxons'.