The following taken straight from wikipedia
Davy Jones' Locker is an idiom for the bottom of the sea ��" the resting place of drowned seamaen. It is used as a euphemism for death at sea (e.g. to be "sent to Davy Jones' Locker") ; Davy Jones is a nickname (word formerly used by pirates) for what would be the devil of the seas. The origins of the name are unclear, and many theories have been put forth, including incompetent sailors, a pub owner who kidnapped sailors, or that Davy Jones is another name for the devil - as in, "Devil Jonah."
The reputation has been widespread among sailors since its popularization and nautical traditions have been created around Davy Jones. He is also very popular in the broader culture. It is considered to be, even today, modern maritime vocabulary.
I didn't even think about the monkeys, hey hey