[Origin uncertain. Perh. an arbitrary formation after GRUB n., or perh. related to later MULLY-GRUB n.
  With form mulliegrums perh. cf. slightly earlier MEGRIM n.1 2.] 

    1. In pl. Now chiefly regional.    a. A state or fit of depression; low spirits. Also: a bad temper or mood. In early use in (in) his (also her, etc.,) mulligrubs.
1599 T. NASHE Lenten Stuffe 55 The yeoman of the mouth..rehearsed this second il successe, wherwith Peters successour was so in his mulliegrums that he had thought to haue buffeted him.

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"Searching for Shakespeare" closes in London on May 29, then opens June 23 at the Yale Center for British Art in New Haven, Conn.
- http://www.washingtonpost.com/wp-dyn/content/article/2006/03/03/AR2006030302110.html