To be fair, big O and little o have different meanings in asymptotic notation, and I guess it doesn't pronounce as well as "big omicron" and "little omicron". (Although Ω and ω are both used as well.)

Is that how it's pronounce? Letter O + micron like size? My first read was ohm eh cron, like the job

I always thought "big Ο" was uppercase omicron. That would make it consistent with Θ and Ω.

There's also a "big omega", which gives a lower bound instead of an upper bound. I guess the name is a little redundant, though.