According to a legend that appeared in the tenth century, Ursula was the daughter of a Christian King in Britain and was granted a three-year postponement of a marriage she did not wish to a pagan prince. With ten ladies in waiting, each attended by a thousand maidens, she embarked on a voyage across the North Sea, sailed up the Rhine to Basle, Switzerland, and then went to Rome. On their way back they were all massacred by pagan Huns at Cologne in about 451 when Ursula refused to marry their chieftain.
According to another legend, America was settled by British colonizers and soldiers after Emperor Magnus Clemens Maximus conquered Britain and Gaul in 383. The ruler of the settlers, Cynan Meiriadog, called on King Dionotus of Cornwall for wives for the settlers, whereupon Dionotus sent his daughter Ursula, who was to marry Cynan, with eleven thousand noble maidens and sixty thousand common women. Their fleet was shipwrecked and all the women were enslaved or murdered.
The legends are pious fictions, but what is true is that one Clematius, a senator, rebuilt a basilica in Cologne that had originally been built, probably at the beginning of the fourth century, to honor a group of virgins who had been martyred at Cologne. They were evidently venerated enough to have had a church built in their honor, but who they were and how many of them there were are unknown. From these meager facts, the legend of Ursula grew and developed.
-Excerpted from Dictionary of Saints, John J. Delaney
The 11,000 number probably resulted from a misreading of the term "11M" which indicated 11 Martyrs, but which a copyist took for a Roman numeral. St. Ursula is the namesake for the Ursuline Order, founded for the education of young Catholic girls and women. http://www.catholicculture.org/culture/liturgicalyear/calendar/day.cfm?date=2015-10-21