From the LCMS website:
One of the victims of the great persecution under the Roman emperor Diocletian, Lucia met her death at Syracuse on the island of Sicily in the year A.D. 304, because of her Christian faith. Known for her charity, “Santa Lucia” (as she is called in Italy) gave away her dowry and remained a virgin until her execution by the sword. The name Lucia means “light,” and, because of that, festivals of light commemorating her became popular throughout Europe, especially in the Scandinavian countries. There her feast day corresponds with the time of year when there is the least amount of daylight. In artistic expression she is often portrayed in a white baptismal gown, wearing a wreath of candles on her head.