I think there are two possibilities:
#1 Different to the world's normal names
As @ton.yeung mentioned in their comment, it's because it's so different to the other names of the fantasy world.
Look at some of the other characters in the world:
- Darkness (a.k.a. Dustiness Ford Lalatina)
Kazuma and Kyōya are from the modern world so their names are probably odd, but normal for their origin.
#2 Odd due to her character
(I think this is more likely)
That we would meet is a fate chosen by the world itself.
I have anxiously awaited the arrival of those such as yourself.
My name is Megumin!
My calling is that of an arch wizard, one who controls explosion magic, the strongest of all offensive magic!
Fu-fu.. Do you, too, desire my forbidden strength, which is so almighty, I've been ostracized by the entire world?
Then show me thine resolve to peer into the ultimate abyss with me!
When a man stares into the abyss, the abyss stares back.
I am Megumin, user of the finest magic crimson demons possess! My lethal magic demolishes mountains, smashes boulders...
After Megumin's huge character introduction and ever-chuuni speeches, one would imagine she would have a crazy name too. But it's just Megumin, with an n that sounds cutesy. Being short and young is usually something she gives out about too.
Some people on MAL compared it to Tim the Enchanter from Monty Python