The colloquial terms bag of mystery and mystery bag denote a sausage, a saveloy. The British lexicographer John Stephen Farmer (1854-1916) gave the following explanations in Slang and its Analogues Past and Present ([London]: Printed for subscribers only, 1890):

Bags of mystery (common).—Sausages and saveloys are so called—from the often mysterious character of their compounds. Presumably composed of minced ‘meat,’ but so highly flavoured and seasoned that no man can tell whereof they are made.

The earliest occurrence that I have found is from Police Intelligence, published in The Morning Chronicle (London, England) of 30^th March 1857:

Unwholesome Food—“Bags of Mystery” alias “Sausages.”—John Pallett, butcher and sausage-maker, of No. 23, Chapel-street, Somers-town, was placed at the bar before Mr. Corrie, charged by James Newman, sanitary inspector of nuisances to the parish of St. Pancras, with exposing for sale unwholesome meat unfit for human food, which subjected him to heavy penalties under the Nuisance Removal Act, 18^th and 19^th Victoria, chap. 21.
Mr. Newman having been sworn, said that on Saturday morning he was passing by the defendant’s house, where he found thirteen quarters of veal, which were quite unwholesome and perfectly unfit for human food. The defendant, it appeared, put the meat into his cart, and brought it to this court, where it was deposited in the station-house yard.
In answer to Mr. Corrie, the witness said “the meat stinks.”
Mr. Corrie said that this seemed to be a wholesale proceeding on the part of the defendant, and asked him what he had to say to the charge?
He said he had purchased the meat in the market at a cheap rate. He admitted that it was now bad, but the interior was good. He meant to cut off the outside, which was bad, and the inside would be good to eat.
A voice: For cats and dogs.
Mr. Cook, solicitor to St. Pancras: Sir, a gentleman by my side says that he will be cautious in future as to purchasing sausages.
Mr. Corrie (to Mr. Newman): Pray what do you mean to do with the meat?—Mr. Newman: I mean to bury it or send it to a cat’s meat shop [laughter].
Mr. Corrie: I shall convict you in the mitigated penalty of 20s., and the meat forfeited.
The defendant paid the penalty and was liberated, and he conveyed the meat from the station in his cart.

The Freeman’s Journal (Dublin, County Dublin, Ireland) of 3^rd March 1876 published the following article, of humorous form but of serious content:

A dreadful mystery, which beats Mrs. Radcliffe and those of Udolpho all to nothing, and fills the public mind with horror unspeakable, has just come to light at Sunderland. Listen to the plain, unvarnished tale, then fall to breakfast, lunch, or supper with what appetite you may. The other day a man arrived at Sunderland with 900lbs. of putrid salt beef, which had been sold at Liverpool for 30s., for manure. The purchaser had thought it wiser not to endeavour to dispose of his offensive stock at the place where it had been bought, but took it at once to Sunderland, where he offered it for sale to one or two pork butchers of the town for the manufacture of what is called very appropriately “mystery bags,” otherwise sausages. He and his merchandise were seized and taken before the magistrates. To the reproach proffered by the latter against the wickedness of attempting to poison the people of Sunderland, the mystery merchant replied that he never expected the “mystery bags” to be eaten in the town, only made there, to be sent straight off to London, “where folks would eat anything, and never find out what it’s made of.” The story has caused general depression amongst sausage eaters, not for what they may be called upon to swallow in the future, for a universal determination to eat no more sausage has been entered into, but the thought of what must have been, when, perhaps, the relish and enjoyment were at their highest, makes city clerks turn pale and early shop boys hurry by the hot sausage cans with averted eyes and an involuntary shudder. Seriously speaking, it seems that the pork butchers’ trade has already felt the effects of the report made by the Sunderland magistrates.

The following, from the Aberdeen Evening Express (Aberdeen, Aberdeenshire, Scotland) of 20^th October 1894, somehow anticipates the 2013 horse-meat scandal:

It has already been hinted, more or less vaguely, that a thriving trade is done between this country and the Continent in horse flesh. At a bankruptcy examination, held in Glasgow yesterday, certain facts were elicited which go to confirm the of rumour. Mr Joe Smicht, whose affairs were being inquired into, gives the information in question. He told the Court that he purchased horses in this country and sent them to Belgium and Holland, where they were made into beef steak and sausages. Of course, people here will shudder at such a revelation, but they need not unduly concern themselves, for the sausages thus manufactured are not of the well-known “German” variety. It is only the expensive kinds of saveloys, said the bankrupt, for which horse flesh is used, and these dainties are not to be had, as a rule, in this country. They are too dear for common consumption. The other important question, however, remains—Of what then is the ordinary German sausage of commerce concocted, seeing that horse flesh is too dear to use in its manufacture? Beef and pork, of course, are higher priced than horse flesh, and are out of the question as the chief ingredients, yet we know that the German sausage does contain a certain proportion of animal meat. Mr Joe Smicht’s examination does not exactly clear up the point, but it is helpful to the anxious inquirer. It was always “fat horses,” he said, that he was in the habit of buying for the Continental butcher, so that the inference may be drawn that it is only the lean variety, issuing from the knacker’s yard, that forms the basis of the succulent “bag of mystery.” Such a view of the case may go far to increase the popular dislike of articles “made in Germany.”

An article in The Falkirk Herald (Falkirk, Stirlingshire, Scotland) of 23^rd April 1949, about “Mrs Elizabeth Wright, the Independent candidate who is seeking election to Falkirk Town Council”, evokes post-WW2 rationing:

Referring to present-day problems, she said the housewives had had a raw deal. Men had a five days’ week, but the women worked seven days a week, and could claim to be Britain’s only unpaid workers. In the old days the male went out to hunt for food, but now it was the women who had to do that. They of the Women Citizens’ Association had protested to the Secretary of State, Mr Strachey, and Mr MacPherson, M.P., deploring the drastic cut in the meat ration and urging the Government to discontinue bulk buying and return to competitive and selective buying. She detailed the lunch menu supplied to Members of Parliament in the House of Commons. She said the Members of Parliament were getting plenty to eat, while they in Falkirk got 8d. worth of meat and sausages—bags of mystery—which contained everything but butcher meat.