Pretty close, but the vowel sound is slightly different. The word 'me' would be prounounced /mi:/ by an American [1] but the name My is prounounced /my/ in Swedish. It's the close front rounded vowel [2], the same vowel sound that is usually represented with ü in German. Apparently, this sound is produced by people speaking with a Scottish accent, when they way "few".
Compare close front rounded and unrounded vowel sounds:
It is however the pronounciation of the greek letter μ (in Swedish). So it could perhaps be construed as micro-SQL if you wanted to.
Monty's official explanation is that it's named after his daughter, but I'm sure the double meaning with the English word played in as well (and perhaps even the micro-prefix).
