How did the Wizard Of Oz get that name?   

Because it's about a Wizard who lives in Oz?

The classic tale of Dorothy in the land of Oz came from the imagination
of L. Frank Baum, who made up the story for his son and a group
of children one evening in 1899. When a little girl asked him the name

of this magical land with the Scarecrow, Tinman, and Cowardly Lion,
he looked around the room for inspiration. He happened to be sitting
next to a filing cabinet with the drawers labelled “A-G,” “H-N,” and
finally “O-Z,” which gave him a quick answer: “Oz.”