I don't think it's a monogram, because I've seen the very same sign on a few of them.
In the olden days, people used mourning lockets, say, with a lock of hair in them, to remember the dead. Could this be something about alpha and Omega (a Biblical symbol for Christ, the beginning and the end, like the start and end of the Greek alphabet)?
I have also seen some that look like an S with three Is superimposed -- I thought of IHS, but not sure.

Here's a photo of the latter-mentioned one

http://cgi.ebay.com/ws/ebayisapi.dll?vie...
I just found this description of a piece -- maybe this is it??

VICTORIAN vulcanite oval locket with entwined initials "AEI" (Amity, Eternity & Infinity) on the front for eternal love