Wordorigins.org

Davy Jones is the spirit of the sea, a nautical demon. His locker is where he keeps sunken ships, the grave of sailors how have perished at sea.

The origin of the name is obscure. It dates to at least 1726 when it appears in The Four Years Voyages of Capt. George Roberts, written by Daniel Defoe:

Heaving the rest into David Jones’s locker, i.e. the sea.