The English names derive from German mythology and we've been using them for a very long time. Until fairly recently, the Catholic Church used to number the days rather than give them names. The Puritans were mainly concerned to contradict anything that the Catholic Church did - so anything different to Catholicism was good enough for them.
Sunday has been known as "The Lord's Day" since before the reformation any some Christian groups (notably the Lord's Day Observance Society) still use this term.