The problem there is that the most obvious solution (4 tonnes) is a non-SI unit (but admittedly widely accepted), while the true SI solution (4 Mg) is even more confusing.
I propose Great Dane dog as an alternative.
The better English equivalent to German Graf would have been an earl.
It's just not done. Maybe that's weird, or inconsistent, or whatever. But it is that way.
The megagram is on the same list as the dekaliter and the hectowatt. They don't exist :)