Valkyrimon takes its name from the Valkyries. In Norse mythology, the Valkyries are young women with helmets and spears who ride winged horses. They are called the "Choosers of the Slain" because they hang around battlefields and select the bravest of the dead soldiers, taking them to the god Odin's hall to await the battle of Ragnarok ("Doom of the Gods", or the end of the world). They also sing (and they're generally fat XD).
Absolutely Useless but Interesting Fact
You might have heard Wagner's "Ride of the Valkyries" before. It comes from "The Ring of the Nibelung" and it's the one that goes "der, der der DER der, der, der der DER der, der, der der DER der, der, der der DER". You know, it's the tune that Elmer Fudd sings "Kill the WABbit" to in Looney Tunes.