In an interview with The New York Times, Microsoft CEO Steve Ballmer discussed the naming of Microsoft's Xbox and Zune products:
"When it came time to name Xbox, there was certainly a class of people who wanted to have Microsoft and/or Windows more prominent. They all lost. And it was a wise choice. Not because Microsoft is bad. But it wouldn't have meant what it needed to mean to that audience. And Zune could have been Microsoft music system or Microsoft entertainment system or Xpod, I guess. But again, we thought the experience was different and it was worth giving its own identity."
Well of course ya didn't name it the Xpod, ya big silly! We'd expect it to play games if you had named it that, and Zune has no capability in the games department. (Looks like Apple beat you to the whole Xpod thing, anyway.)