Margaret, it really is just a play on words ... someone, somewhere said that the sting was so painful that it could kill a cow and the name has stuck. It is very painful !
I never saw them before until recently my son had a house built and the soil (mostly sand) was disturbed. Last year, at an outdoor party a small child was stung and she cried and cried. But to my knowledge they have never killed anyone or any animal. It is the female that stings.