What does megillah mean? Well, it has several meanings.
As we may read one definition from The Free Dictionary online:
megillah Slang A tediously detailed or embroidered account: told us the whole megillah.
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From the Wikipedia List of English words of Yiddish origin, we read
megillah: a tediously detailed discourse (from Yiddish מגילה megile ‘lengthy document, scroll [esp. the Book of Esther]’, from Hebrew מגילה məgillā ‘scroll’) (OED, MW)
Click over to read the entire Wikipedia List of English words of Yiddish origin.
Make sure you also go over to read the Wikipedia article of Yiddish words used in English.
If you enjoyed reading those two Wikipedia articles with their Yiddish words and definitions, you most likely would also enjoy reading The First Words You Learn, Selected Yiddish Words and Phrases – impress your friends and family.