This is a very unusual name which reserach suggests is of Dutch\German origin and was recorded in medieval times as either "Schegh" or "Sleght", both being early heraldic records. The first recording as "Slego" in late 17th Century England suggests either a Huguenot emigre origin or possibly a more direct association with the accession of William of Orange, but we have not been able to prove either conclusively. The name development includes Mary Lydia Shegog who married James Skinner at St. Leonards, Shoreditch in 1829 and Elizabeth Shegog married to John Roberts at St.Giles, London in 1634. The first recorded spelling of the family name is shown to be that of Elias Slego (or Shego), which was dated 1692, Married Mary Deparke at St. Katherine by the Tower, London, during the reign of King William III of Orange and England, 1689 - 1702. Surnames became necessary when governments introduced personal taxation. In England this was known as Poll Tax. Throughout the centuries, surnames in every country have continued to "develop" often leading to astonishing variants of the original spelling.
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