Green’s Dictionary of Slang

Davy Jones’s locker n.

also Davey’s locker, David Jones(es), Davy Jones, Davy Jones’s chest-lid, Davy Jones’s dock-yard, Davy’s locker, Jones’s locker, old Davey, old Davy
[at best Davy Jones represents the spirit of the sea, at worst he is the ocean’s own devil (thus and Dickens, Bleak House, 1853: ‘If you only have to swab a plank, you should swab it as if Davy Jones were after you’); either way it is in his ‘locker’ that drowned seamen are stowed. The ety. remains obscure, but DSUE suggests that Jones refers to Jonah whose own ‘locker’ was the belly of the whale. Davy, it is proposed, may have been added by Welsh sailors]

[18C+] a watery grave; thus a metaphor for death in general.

In phrases

go to Davy Jones’s locker (v.) (also go to Davey’s locker, ...Davy Jones, ...old Davey)

[mid-19C] to die.

In exclamations

by the bones of Davy Jones!

[1910s] (Aus.) a mild oath.