It’s called that because you used to download the apks on a separate computer and then load them onto the phone, it has nothing to do with sounding illegal
This was before it had a download manager or file manager and using your computer to manage your phone was the norm.
The term predates Android anyways, goes back to the 90s I think.
Hell, people used to use iTunes to manage the apps on their iPhone and organize their Home Screen.
Then with the windows mobile world, you could install manually, or use activesync which really sucked. Same with Palm. I don't recall Blackberry.
In fact on the iPhone Cydia existed before the app store ever did. Apple had decided that web apps were the way to go.