I believe it comes from the book "Treasure Island" written by the famous author Robert Louis Stevenson, who named a parrot in this book Polly. This Parrot was asked by by POOP DECK PETE: "Polly want a cracker?"
Polly became a popular parrot name after the 1611 play Volpone, written by Ben Johnson, which features a parrot named Pol. Poll is also British slang for a talkative person.
This is an saying heard in most Pirate movies realating to the captains bird of choice. Polly was often the named used for this bird, and a cracker was offered for food.
