Sigourney is a French Huguenot surname that occurs in both the USA and England. It means one's ancestors came from a village called Sigournais. I have not yet been able to find out what that place name originally meant.
There was a well-known poet in the 19th century that Fitzgerald would have heard of named Lydia Huntley Sigourney. He may have gotten the idea for his character name from her.