According to Bon Appetit, the mojo picón comes from the exquisite Canary Islands, a group of eight Spanish islands closer to the northern coast of Africa than Spain. The name “mojo” comes from a neighbor to the northeast, Portugal, whose word for “sauce” is “molho”. This is probably because some of the first residents of the island came from Madeira, an island off the coast of Portugal, by Gran Canaria. Mojo picón is a combination of picón peppers, cayenne pepper, garlic, salt, cumin, smoked Spanish paprika, red wine vinegar, and sunflower oil (via Saveur). There are plenty of substitutions and adjustments that can be made, such as using red jalapenos as peppers, sherry vinegar, and olive oil (for good appetite), but the basic recipe is the same.
It is suggested that the elements of this sauce are a veritable melting pot, so to speak, with the paprika coming from Spain, the cumin originating from Africa and the spicy chillies coming to Europe from the Americas, per Marca Canaria. Mojo Picon should not be confused with Cuban and Puerto Rican mojo sauces, which are commonly used as marinades, but Gran Canaria suggests they may have been influenced by the famous sauces of the Canary Islands.