used to be called Claudius, for the famous dribbling emperor.
However, Claudius rather blotted his copy-book by crucifying a chap called Jesus of Nazareth. (Not personally, you understand, but he was emperor at the time). So when the Roman Empire had turned to Christianity and moved to Constantinople they decided to do away with the poor old month of Claudius and instead call it the Mensis Salvatoris de Christi in Excelsior, which thankfully didn't catch on.
Instead, the month was named for the ancient tradition of Apus Regalus, or the Kingly Ape, which had existed in the kingdom of Pontus prior to the Roman invasion. Choroides puts it best in his second century classic Geographies:
And in the Kingdom of Pontus they would, at that time, hold the ceremony of the Kingly Ape, which was a monkey that was given a crown of pure gold upon his head. Then each citizen of the place, both man and woman, would arm himself with a feather and all would pursue that monkey attempting to touch it's belly with the feather. It was said that if a citizen could make the monkey laugh by stroking its belly in this way, he would be given a position of great power within the state for the space of a year. But this was seldom or never achieved for the monkey would escape over the roofs and vanish with its golden crown.
Right, I've got my feather, I've got my crown, and I'm off to London Zoo.
Security had better be good.