The name Macau is thought to be derived from the A-Ma Temple built in 1448 dedicated to Matsu – the goddess of seafarers and fishermen. Apparently when the Portuguese sailors landed at the coast just outside the temple and asked the name of the place, the natives replied Mage. The Portuguese then named the peninsula "Macau"
Sources
Found this out from the local tour guide that drove us around Macau on a one day tour.