Here's why:
* Discovery: Helium was first discovered in 1868 by French astronomer Pierre Janssen during a solar eclipse. He observed a bright yellow line in the spectrum of the Sun's chromosphere that couldn't be attributed to any known element.
* Naming: The line was later studied by English astronomer Norman Lockyer who, unable to identify it with any known element on Earth, concluded it must be a new element and named it after the Greek god of the Sun, Helios.
* Confirmation: Helium wasn't isolated on Earth until 1895 when British chemist William Ramsay found it in the gas released from a sample of cleveite, a uranium mineral.
So, in essence, helium is named after the Sun because it was first discovered in the Sun's atmosphere, and its name reflects its celestial origin.