Cubbie Roo’s castle is just over the sound on the little Isle of Wyre. S Cruden rather confidently suggests in The Scottish Castle (1960) that
This name is certainly a corruption of Kolbein Hruga, Kubbe or Kobbe being a Norse term of familiarity for Kolbein.
There’s lots more at the lovely Orkneyjar site which tells about this giant’s exploits. There’s an article disputing any connection with a real Norse person, that the ‘Kolbein Hruga’ thing is all of a muddle. But I think that’s not so important is it... he’s clearly a bit more than an ordinary person in the stories. Maybe his ‘Burden’ is the stones that he dropped, rather like the Devil’s Burdens elsewhere?
The Orkney Book (“for young Orcadians”) says the giant’s name “is even yet used to terrify into good behaviour some obstreperous youngster, in the awful threat, “Cubbie Roo’ll get thee!” ”