Wally is a British English expression referring to a "silly or inept person", which later developed into an umbrella term for "vulnerable individuals".
According to Oxford Dictionaries Online, it possibly originated at a pop festival in the 1960s when, on hearing the name being announced many times over a loudspeaker, the crowd took it up as a chant.
The cry was picked up by others and led to random shout of "Wally" being heard at rock concerts all over Britain.
In 1974 a group of new age travelers were encamped near Stonehenge, to help hinder the process of eviction by the landowners they all gave their name as Wally of Wessex, "Wally being a conveniently anonymous umbrella for vulnerable individuals".
References
Wally (anonymous) Wikipedia(Text) CC BY-SA