The Collaborative International Dictionary of English v.0.48:

Sally Lunn \Sal"ly Lunn"\ [From a woman, Sally Lunn, who is said
   to have first made the cakes, and sold them in the streets of
   Bath, Eng.]
   A tea cake slighty sweetened, and raised with yeast, baked in
   the form of biscuits or in a thin loaf, and eaten hot with
   butter.
   [1913 Webster]

WordNet (r) 3.0 (2006):

Sally Lunn
    n 1: a flat round slightly sweet teacake usually served hot