I heard a similar story about the Yucatan Penninsula. Since it is so similar, it is probably not true. The exchange supposedly went something like this.

Explorer: What is this place called?
Native: Yucatan -->(I don't know what the heck you are saying.)

Ferrick

> > > Isn't it true that Kangaroo is Aboriginal for 'I don't know'?
> >
> > I've heard that it means "I don't understand you." The conversation between
> > Capt. Cook and an aboriginal was said to go like this:
> >
> > Cook: *pointing to a kangaroo* What's that?
> > Aboriginal: Kangaroo(I don't understand you).
>
> According to a book I read (by a linguist who is also an Aborigine, so presumably she knew what she was talking about), it's a myth.
>
> For one thing, Captain Cook didn't go around asking natives what things were called; he had people to do that for him. :o)
>
> The other thing is that "kangaroo", or the closest actual word in the language of the area Cook visited, is actually a word meaning a kind of kangaroo. But only one specific kind, and excluding most species that are now called kangaroos.
> Whoever the questioner was did manage to get the question across, but apparently didn't realise that the natives didn't have a general name for all large hopping mammals with pockets.
>
> Paul