The traditional bagpipe of Bulgaria is the gayda, which is more or less the same with the word in Serbo-Croatian and Albanian.
I can’t find any cognates in Germanic (usually something like bag-pipe), Romance (usually something like cornamus), or Slavic (something like dudy). So what’s up with these two pockets of gaita/gaida on the opposite ends of Europe? Is this the old Celtic word that just happened not be inherited by any of Europe’s surviving Celtic languages?
The Bulgarian Etymological Dictionary blames Turkish for the word: “Through Turkish gayda from Arabic gajta.” But Turkish sources blame “the Balkans,” with a possible Germanic origin (see Gothic gaits, “a goat” because bagpipes are made from goat skins, get it?). I am dubious. Gaita means “good” in Arabic, but that doesn’t have any bearing on bagpipes (and I mean that in every way), and while Gothic and Arabic-speaking people were in the Balkans (and the Iberian Peninsula for that matter), so were the Celts. Bagpipes are played in Arab countries, but the only people who call them gaita or anything similar do so because of historical Iberian influence. Likewise, no Germanic people call bagpipes anything like gaits. Plus wind=bagpipe, okay. Goat=bagpipe? I don’t see it.
I’m going to say it makes most sense that gaita/gaida/gayda/etc. in Iberia, the Balkans, Turkey, and North Africa are all descended from the same proto-Celtic word *gaito-, from Proto-Indo-European *ghai, meaning “storm.”
Oh, also, I’m told that “Gaita!” is an expletive in Portuguese. How appropriate.