Green’s Dictionary of Slang

1. the Caledonian Market, London N1.

1937–84

Partridge DSUE (1984) 175/2: late C.19–20.

2. (also Calley) the Caledonian Road.

1950		C. Harris Three-Ha’Pence to the Angel 137: He knew a cracked paving stone, the gait of a man who crossed the road [...] towards the ‘Calley’.
2000		J.J. Connolly Layer Cake 164: There’s a café two hundred yards up the Cally, George’s.