They picked the name in the mid-1980s, around the same time as the GNU project was founded. Well, the GNU project came first - the GNU manifesto dates to 1985, whereas I believe the first release of gnuplot was 1986 - and the gnuplot authors were apparently aware of the GNU project at the time, but I don't know if they foresaw that GNU would be as successful as it has been. I think the gnuplot authors' naming choice is more defensible in its historical context than if someone made the same naming decision today; and, now they've been using their current name for around 30 years, they obviously don't want to change it.