"Underscore" would suggest rather U+0332, the combining low line. As for "pilcrow", it's probably descended from a perversion of "paragraph", but nobody knows for sure.
The OED gives other forms for it:
15th-century pylcraft(e), pilecrafte; 16th-century pilcrowe; 17th-century pilkrow, pill-crow, peelcrow, pilgrow. Apparently for pilled crow, cf. pilcord, pilgarlic. The application of the word, with the form pylcraft, has suggested that it originated in a perversion of PARAGRAPH, through pargrafte, *parcrafte, etc.: cf quote c 1460 and 1617. But the history of the word is obscure, and evidence is wanting.
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Michael Everson * * Everson Typography * * http://www.evertype.com
