Pet peeve: I wish people would call them persistent or fork-on-write, but functional at least is better than immutable.
I suspect the idea is to tie in with the idea of '(purely) functional programming', which is where these will shine.
In any case the term '(purely) functional data structures' seems pretty well entrenched and dates at least to Okasaki's thesis in the late 1990s, possibly earlier (I'm not an expert). In fact, it looks like the link actually mentions Okasaki's work.
[0] https://www.logicallyfallacious.com/tools/lp/Bo/LogicalFalla...