According to culinary writer Giuliano Bugialli, the term comes from the Italian bagno maria, named after Maria de'Cleofa, who developed the technique in Florence in the sixteenth century.
Alternatively, the device's invention has been popularly attributed to Mary the Jewess, an ancient alchemist traditionally supposed to have been Miriam, a sister of Moses. The name comes from the medieval-Latin term balneum (or balineum) Mariae—literally, Mary's bath—from which the French bain de Marie, or bain-marie, is derived.
According to The Jewish Alchemists, Maria the Jewess was an ancient alchemist who lived in Alexandria—although this would seem to contradict the tradition that she was Moses' sister: Alexandria was founded by Alexander the Great in 334 BC, while Moses is thought to have lived around 1450-1200 BC.
There is a website devoted to women alchemists, including Sophie Brahe, Anna Maria Zieglerin, Marie Meurdrac, Katherine Boyle Jones and Margaret Cavendish. The author of the website, Robin L Gordon, also has a forthcoming book, Searching for the Soror Mystica.