Suda

Lycophron mentions it also as σίγυμνον.

Hesychius mentions ζιβύνη without labeling it Macedonian.

Herodotos 5.9.1

"μούνους δὲ δύναμαι πυθέσθαι οἰκέοντας πέρην τοῦ Ἴστρου ἀνθρώπους τοῖσι οὔνομα εἶναι Σιγύννας, ἐσθῆτι δὲ χρεωμένους Μηδικῇ."

"I can learn of no men dwelling beyond the Ister save certain that are called Sigynnae and wear Median dress."

Strabo 11.11.8

"Σίγιννοι δὲ τἆλλα μὲν περσίζουσιν, ἱππαρίοις δὲ χρῶνται μικροῖς δασέσιν, ἅπερ ἱππότην ὀχεῖν μὲν οὐ δύναται, τέθριππα δὲ ζευγνύουσιν: ἡνιοχοῦσι δὲ γυναῖκες ἐκ παίδων ἠσκημέναι, ἡ δ᾽ ἄριστα ἡνιοχοῦσα συνοικεῖ ᾧ βούλεται"

"The Siginni imitate the Persians in all their customs, except that they use ponies that are small and shaggy, which, though unable to carry a horseman, are yoked together in a four-horse team and are driven by women trained thereto from childhood; and the woman who drives best cohabits with whomever she wishes"

It is generally considered non-Greek, possibly pre-Greek or Iranic loanword, however Dunstan R. (2015) reports this word has been attested in other places of the Greek-speaking world, hence there's no reason to suppose a borrowing from a non-Greek IE substratum.