When I was in Spain, there was a local confection called a "chocho." Every souvenir shop in the city had a little sign advertising "Chochos Tipicos de Salamanca." There were a couple of Mallorcan students living with my host family, and they got a kick out of this because in Mallorca, apparently "chocho" was slang for lady bits.
I've never actually seen Fanny May candies. The first time I heard the name, I thought someone was confusing Fannie Mae (the Federal National Mortgage Agency) with Fannie Farmer (which is a candy brand as well as the name of a famous cooking school/cookbook line).
I'm curious as to how "fanny" came to mean lady bits in British. After all, in "A Christmas Carol," Scrooge had a sister named Fan (short for Frances, I presume?). If there were females called Fan, did they never get called Fanny as children? Or is it one of those slang terms that started out as a perfectly OK proper name, then developed a secondary vulgar meaning (like D!ck and Willy)?