Maybe, but it's a much better name than mysql. I feel like a little kid every time I say "my" anything.
"He lives in Helsinki with his second wife Anna and daughter Maria (after whom MariaDB was named), and has a daughter My (after whom MySQL was named)[14] and a son Max (giving the name for MaxDB) from his first marriage" https://en.wikipedia.org/wiki/Michael_Widenius
Besides, Widenius is Swedish speaking (just like Linus Thorvalds and about 10% of the people of Finland) and the name "My" was more or less invented by the also Swedish speaking Finnish author Tove Jansson in her books about the Moomins.
Although wikipedia claims it to be a short form of Mary or Maria, which I seriously doubt.
Anyway, Finnish has not that much to do with the name, I think that it allegedly was Tove Janssons uncle - a professor in mathematics, that suggested the name based on the mathematical symbol and Greek letter μ pronounced in Swedish. It might even be vaguely similar to how it was pronounced in ancient Greek :-)
Besides, I think that "My" in Finnish would be spelled "Myy" since just about the only simple thing with the Finnish language is that the vowel length is indicated by the number of characters.
Maybe Monty should upload an .au file somewhere saying "Hello, this is Monty Widenius, and I pronounce MySQL as MySQL"!