I've never heard of the term čokalija before, or at least I haven't paid much attentions to it; but I see it's used among Serbs when referring Macedonians.

It is probably a turkism, though I'm not really sure how and why this term emerged.

I've just found <a href="http://www.vesti-online.com/Vesti/Drustvo/398799/Makedonac-koji-je-nadmudrio-sultana">this interesting story</a> saying it comes from Turkish çok akıllı. I don't think this is very relevant, but it's still an interesting read.