Right next to St Giles church on St Giles High Street, London is the pub called "The Angel". The present building dates from the late 1800s but there was an "Angel" pub on this site going back at least to Tudor times. This pub and the church next door, in those days, marked the western edge of the city where St Giles High Street led out onto Oxford Street. It was along this route that condemned felons were led out from Newgate Prison to Tyburn to be hanged.
Towards the end of the 1600s a custom began in which the execution party would stop at the pub and the condemned man/men be offered a last drink, "one for the road".
Not only that but the man who was driving the cart which held the condemned could not partake in this drinking session; he had to keep his wits about him because he was "on the wagon".
This custom post-dates the era of the martyrs and would have come to an end when Tyburn ceased to be the place of public executions towards the end of the 1700s. But the expressions have taken root.