'Sally Lunn-bun' and 'Bath bun's'. Sally Lunn, a young French refugee, arrived in England over 300 years ago. She found work at what is now known as Sally Lunn's House and began to bake a rich round and generous bread now known as the Sally Lunn Bun. This bun became a very popular delicacy in Georgian England as its special taste and lightness allowed it to be enjoyed with either sweet or savory accompaniments. Similar in texture to Brioche which is a French egg bread.