 These recipes generally differ greatly from the modern idea of a Banbury cake, in terms of their size, the nature of the pastry, and how the cake is made.In the late 19th century, the notorious refreshment rooms at Swindon railway station sold "Banbury cakes and pork pies (obviously stale)".Queen Victoria was presented with Banbury cakes on her journey from Osborne to Balmoral each August.