Well first off, it's pronounced Mee Yole Near, yes - the "j" is pronounced like a "y". It is named for the hammer that Thor used in ancient mythology.
The origin for the word "Mjolnir" is unknown though eptymological speculation has provided thories for its literal translation. The Icelandic verbs mølva (to crush) and mala (to grind) have been suggested as possible translations while another theory suggests that Mjolnir might be related to the Russian word mólnija and the Welsh word mellt (both words being translated as "lightning"). This second theory parallels with the idea that Thor was the god of thunder, therefore might have used lightning as his weapon.