There're several theories as to why they are called what they are. Some people believe that they are called the Santa Ana winds because of the Santa Ana canyon in orange county. Some people, who call them the Santana winds, say that the name comes from the time the Spaniards ruled California and that the name means "Devil winds". These people tend to believe that the "Santa Ana" name comes from a mispronunciation of "Santana". I'm not sure which is correct, but I tend to call them the Santa Ana winds just because so many other people do.
I think they're named after the guitar player, Santana.