The reason for the peculiar name is due to the cult classic movie Pulp fiction, which happens to be a popular movie of a few of the members of What (Plainlazywill and Tom Caruth).
During the movie Samuel Jackson is interrogating a man and says  “What ain’t no country I’ve heard of”

So to cut a long story short we thought It would be a good idea to name the City What.
So when people ask where we are from we can say we are from What,
Because what is a place you have heard of.