The Collaborative International Dictionary of English v.0.48:

Cubby \Cub"by\ (k?b"b?), Cubbyhole \Cub"by*hole`\ (-h?l`), n.
   [See Cub a stall.]
   A snug or confined or secluded place; a small room or a snug
   space within a room.

   Syn: snuggery, snug.
        [1913 Webster +PJC]

WordNet (r) 3.0 (2006):

cubby
    n 1: a small secluded room [syn: cubby, cubbyhole,
         snuggery, snug]