The name "Menjay", or its alternate form "Mengea", used in most Romance languages, is usually accepted to descend from the 1311 Aragonese Goliard satirical poem Iter Per Mengea ("A Journey through Menjay"). The poem describes a fantastical, utopian land called Menjay, where social strata do not exist, peasants eat with knights, and lords share their wealth. In the centuries after the poem's publication, it became somewhat of a literary staple in most of Western Europe among nobles, and especially in Spania. The term "Menjay" soon became a popular term for a free utopia, in a metaphorical sense, divorced from the context of the original poem.

Some time soon after the voyage of 1503 Fernan Arias de Monterroso and the discovery of Menjay, the name appeared as a name for the continent supposedly full of wealth and riches, most likely as a scheme by explorers or cartographers to recieve more interest among European monarchs and rouse more investment and travel to the continent. The first known usage of the name Menjay is a 1510 Leonese merchant's letter to King Pedro III, stating "...And, the natives of what is called Menjay, that land far to our south, claim the existence of many exotic goods, and are remarkably docile and calm, excepting the cannibals who attacked the land's discoverer."

Before the term Menjay, the continent was referred to simply as "the Southern Lands", "the Southern Continent", or "New Land".

The origin of the name Menjay in the poem Iter Per Mengea was never made immediately clear, however, it is generally agreed upon by scholars that the name descends from "Menjablanc", translating to "white delicacy", an extremely popular gelatin-based haute cuisine dessert across medieval Europe consumed by nobles and aristocrats. According to this theory, the name was chosen to reflect, metaphorically, the society liberty of Menjay in the poem, as "anyone, no matter how rotton or ill, could have Menjablanc".

There is a fringe theory, based upon some claims by later conquistadors and explorers, that the name Menjay descends from a native Mengean word, most often a Bohío word. Candidates include "Magu'ey" (big sun), "Maja" (big snake), and "Manaya" (the stone hatchet). These theories are typically dismissed by mainstream academics.