Ursula means "little she-bear" in Latin.
Zøg taking Ursula's bear skin is taken directly from an Irish folktale about a man falling in love with a selkie, and taking her seal skin so she could live with him for the rest of their life and bear children together. Unlike in this episode, the man does not give the selkie back her seal skin, and she eventually dies.
The title is a take off on Carson McCullers' novel "The Heart is a Lonely Hunter."