Because they was making fun of it and they thought it would be really cool if it was they're band name. That's what i heard. This band is my most favori band in the whole wide world! It would mean too much if I got to meet them. They are fans of God like i am:).
Actually they got they're name from the novel "The Devil Wears Prada" because they thought that the book was based upon and had anti-materialistic vues in it and that's what they wanted they're name to be about. Later they found out that that wasn't what the book was about at all but decided to keep the name anyways. Hope this helped(: