Indeed, a German Wikipedia page displays a 1909 catalog for Christmas ornaments that features a pickle. There is also a legend of a Bavarian-born soldier taken prisoner in the state of Georgia ...

But the most out-of-place ornament we pulled from her ... There are a few more stories of the Christmas pickle's origins, including the legend of a captured American Civil War soldier.

The Christmas pickle was originally called Weihnachtsgurke ... This handpainted ornament includes a card with the “Legend of the Pickle” written on it, making it a great gift.