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My guess is that this was originally a pet form of Glaphyra, a name used in Greek speaking areas of the Roman empire, and the name of a saint:

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http://www.catholic-forum.com/saintS/saintg69.htm

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as well as a princess of Cappadocia who married a son of King Herod of Judaea:

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http://www.interhack.net/projects/library/wars-jews/b2c7.html

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According to Santi e Fanti by Enzo La Stella T., Glaphyra may possibly go back to a Greek word meaning "elegant."