The names have come from many places. Bert and Ernie were named when Jim Henson picked them up and decided they looked like a Bert and an Ernie. There was a Kermit in Jim's class. Some (like Little Chrissy) were named after their performers.
Some of the various Muppet characters were Kermit the Frog, Miss Piggy, Gonzo and Fozzie Bear. The names were derived obviously from the creator of the Muppets, and successfully so!