It's a mystery lost in the fog of time. There are several theories, however:
1. "Chess" is a mispronunciation of "cheese," as the pie sort of resembles the kind of cheese pies popular in centuries past.
2. "Chess" is a mispronunciation of "chest" as the pies were stored in a special cabinet called a "pie chest."
3. "Chess" is a mispronunciation of the term "jes' pie," reflecting it's simple roots -- that is, it's "just pie."
Take your pick. It's good no matter what you call it.
BTW, here's an interesting article on the subject from Wikipedia: http://en.wikipedia.org/wiki/Chess_pie