I don't really know how it's made. You have the typical pickle - put into a salty solution -, and you do some things to it to make it pickled.
To my knowledge you put lots of bread in a huge jar along with the pickle and the salty solution, and you leave it for weeks either in the sun or outside of the sun (I forgot), and it'll become pickled pickles.
I just asked my mom. It turns out the "typical" recipe everyone keeps repeating is wrong.
You take a single big slice of bread (has to be made with yeast!), put in a lot of "dill" (Anethum graveolens) and an entire clump garlic (not just a slice), put pickles in a big jar, fill them up with salty pickle juice solution to the brim, and keep slow but constant 30C around it. It should be done in a few days to a week.
Don't put it on the sun, and don't use direct fast heat, because it'll cook the picles, and make them soggy, which is disgusting. Good pickled pickles should be crunchy (like a pickle normally should be), and it should have a "stingy" spice to it.
It turns out this is a Hungarian thing, so that's why people don't really know about it. Ironically enough, you can buy the best Hungarian pickled pickles in Vienna...