Melissa is correct. A pig is any chunk of metal and I believe that the origin has nothing to do with an animal, as astronuke has suggested. Whether it is Celtic or not, I don't know.
The American Heritage® Dictionary of the English Language: Fourth Edition. 2000.
3a. A crude block of metal, chiefly iron or lead, poured from a smelting furnace. b. A mold in which such metal is cast. c. Pig iron.