The phrase has been in common usage since the 13th Century. The Word 'mum' is an adaption of 'mmm' as in a humming sound made with a closed mouth, suggesting an unwillingness to speak.
This expression dates from about 1700, but mum, meaning "silence," is much older. In 2 Henry VI (1:2) Shakespeare wrote, "Seal up your lips, and give no Words but mum."
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