Actually I thought it had to do with the Story of Saint Catherine of Alexandria who ws a martyr who berated Emperor Maximillius for torturing Christians. The method of execution was the wheel, supposedly when 18 year old Catherine touched it, it fell to pieces so she was beheaded.
Images of the wheel are here- sometimes all this churchladying comes in handy! http://www.st-cather ine.org.uk/images1.h tm
During my search, which was educational, I found many links to Catherine Wheel. It is the name of a pub in Oxfordshire, UK www.Britishpubguide. com; a recipe for a cookie; a rock group on tour; and St. Catherine of Alexander who was beheaded in 307 AD, by Emperor Maximus, I believe. I also found this from the American Heritage dictionary:
1. A toy consisting of vanes of colored paper or plastic pinned to a stick so that they revolve when blown on. 2. A firework that forms a rotating wheel of colored flames. Also called catherine wheel. 3. A wheel with a circle of pins at right angles to its face, used as a tripping device. And the beat goes on.............
All of the above however stems from St. Catherine. She was second only to the Madonna in importance in the early church and was the subject for many pilgrimmages, cathedrals and churches for 6 centuries. Oxford and Cambridge both have churches named for her and she was the patroness of the University of Paris. Many pubs were called the Cat and Wheel and featured the Saint's famous martyr's wheel symbol. Her feast is November 25th and the paper vanes, cookies and fireworks all have been named for the association with St. Catherine's feast. The link explaining all of this and much more is two postings above.