I found the reference as to why Wallis called the Queen Mum "Cookie"
After David resigned as governor of the Bahamas in 1945, he wanted to go back to England. Many people (Churchill, de Gaulle, Princess Alice, countess of Athlone, and the Duchess of Beaufort) tried to convince George VI to allow David to return and to have Queen Mary and Queen Elizabeth receive Wallis.
It was not going to happen.
From Greg's book:
Thereafter, both the Duke and Duchess would refer to Queen Elizabeth as "that fat Scotch cook; to Wallis, she became "the Dowdy Duchess" and "the Monster of Glamis."