The name came about because our internal HTTP library is named PonyExpress, and this tool was originally part of it. At least it is google-able, right?
There's only so many serious business-y names you can give to something like this. Those names are awfully generic. PonyDebugger is great because it's unique, googleable, and memorable.
It also underscores my loathing for cutesy, irreverent naming conventions.