The “sex” part of this very old British place name refers to Saxons. Sussex (the South Saxons) and Wessex (West Saxons) are old names for parts of England. In Massachusetts, for example, there is a Middlesex County in between Essex to the north and Suffolk and Norfolk to the south. A map of the counties of Massachusetts shows the unmistakable influence of English place names on this original British colony.
In Longfellow’s poem ‘The Midnight Ride of Paul Revere’ we have the lines
One if by land, and two if by sea;
_And I on the opposite shore will be,
Ready to ride and spread the alarm
Through every Middlesex village and farm
That means all the locations in Middlesex County, where Lexington and Concord are and where the American Revolution began.
The former British colonies on the East Coast have many place names that the settlers brought with them. Virginia (the setting of Donnie Darko) and New Jersey both have Middlesex Counties.