The silly names almost always start from the fruit-fly community. They have some of the craziest names, but they are usually derived from the resulting phenotype. However, the fruit-fly version is just called hedgehog (hh), because it results in the fruit-fly embryos looking all pointy.

In this case, the funny name was added by vertebrate researchers who ran out of names when they found 3 homologs. The first two were named desert hedgehog (DHH) and Indian hedgehog (IHH). Naming the third Sonic was just too irresistible.