Knots of May
The children's game. “Here we go gathering nuts of May” is a perversion of “Here we go gathering knots of May,” referring to the old custom of gathering knots of flowers on May-day, or, to use the ordinary phrase, “to go a-Maying.” Of course, there are no nuts to be gathered in May.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894
More on Knots of May from Fact Monster: