The silkworm cocoons come from Soufli (a region in Greece famous for the production of silk) and they are a by product of the silk industry.
The cocoons are dyed by hand with natural dyes suitable for silk and are then coated with a special stiffener / preservative so that they remain stiff in order to be worn with safety.
No animal is harmed during the collection of the cocoons, as they are discarded by the silkworm itself when his incubation is completed, as he breaks the cocoon to get out thus cutting the silk thread and rendering it not suitable for the production of silk.