The Oxford English Dictionary on the etymology of "harlequin" :
a. Fr. harlequin (1585 in Hatz.-Darm.), arlequin, ad. It. arlecchino.
The Italian word is possibly the same as OFr. Hellequin, Herlequin, Herlekin, Hierlekin, Hielekin, Helquin, Hennequin, a devil celebrated in mediæval legend, esp. in la maisnie Helequin, Harlequini familia (Miège), a company or troop of demon horsemen riding by night. Of this the ultimate origin is possibly Teutonic....
According to American Heritage® Dictionary, Herleking is derived from Old English Herla cyning, King
Herla, a mythical figure identified with Woden.a.k.a. Odin
, which may account for the Germanic element