Rock goblins are creatures of folklore in Pentos.
In the draft of A Dance with Dragons, Chapter 5, Tyrion II, Tyrion hears stories of rock goblins and giants warring. The goblins won but were seduced by swan maidens from the lakes and were made thralls. The Andals then rose up and killed them all. 
This wide world is full of such mad tales. Grumkins and snarks, ghosts and ghouls, mermaids, rock goblins, winged horses, winged pigs … winged lions.