Microsoft Research has a tradition of naming projects after cities. Eg, if you type "microsoft research project" into Google (Bing appears to work better for this) and let it autocomplete, you can see some other projects which appear to be named after places: malmo, athens, tokyo, and others.
That's a good question. I wasn't around at the time the project was formed. At that time I was working on Microsoft's internal metrics system. Years later, I became involved as an external contributor (I had left MS) and eventually rejoined MS to work on Orleans full-time.
