In order to be able to register a trademark, Intel started giving the chips names after the i486. They started with Pentium (derived from the Greek word for "five") in place of i586. However, were they to be consequent, the next i686 generation would have had to be called Hexium, which they didn't do because "Pentium" was a well established brand. So the next generation was called "Pentium Pro", and the next chip, which was much closer to the Pentium Pro than to the Pentium, was called Pentium II. This is what happens when marketing has too much control of a company.
See also ia32.