People saved coins in pots made of strong Pygg clay. An 18C potter liked the pun and formed the first piggy bank.
The history of the piggy bank goes back to the Middle Ages.
At that time in Western Europe, metals were expensive to mine, so a cheap orange clay known as pygg was used for everyday items such as dishes and jars.
In fact, something made from pygg clay was often just called a pygg.
The first piggy bank may well have been a pygg in which a thrifty person stashed a few extra pennies to buy a treat on market day.