The Anchor Bar in the city of Buffalo, New York, introduced those kind of chicken wings, hence the name. The locals did not originally call them Buffalo wings, although they probably do now, since the stuff has become a widespread phenomenon.
As for chicken, I don't find the name as strange as the name of the dessert called Lady Fingers. As a kid, I thought that name was really creepy! 😂
Well, domestic buffaloes don't have wings, because we harvest them, silly. It's okay, though, because their wings are way too small to support their giant bodies.