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A lot of them come from the Celtic Legends and Sagas. Saim Hann is from the Celtic holy night of Samhuin, for example. One Special Character is named after a certain mind-altering substance.
Eldar are technically Space elves, so you could also get away with using a few elven names for their Craftworlds. Check out the grey company, they have a lot of elven names and words translated, you could easily have some fun with that.
And the celtic influence is quite small, just a few names (1 or 2)
My craftworld is called Lileanesh, because i love the "-nesh" names. As "-ieth" or "tieth" is used by the eldar i see no reason why you couldn't use this.
Has a nice ring to it and all... An-a-gan-tieth...