https://en.wikipedia.org/wiki/X_chromosome

Tldr - they noticed the X chromosome was weird, so they called it X. Then Y was the next letter. Then Z and W came about to distinguish between the ZW system and the XY system (also it's important to note that the X chromosome is the X chromosome, period, whether it's in a mouse or a human or whatever--it refers to a specific thing that plays a specific role).