The movie it comes from it National Lampoon's Vacation (the first Vacation movie). The Griswald family is trying to visit an amusement park. We know it's supposed to be DisneyLand (after Walt Disney), but in the movie they call it WallyWorld - either to be funny, or to avoid legal complications. Sometime later people starting using it for Wal-mart.

It's just a fun nickname that is kind of related to the real name. If I'm not mistaken, it comes from a movie (a movie I'm too young to remember haha).

Because your “Wally World” franchises real name is Walmart.

The name 'Wally World' is just nickname for Walmart. It has nothing to do with the movie that some people have mentioned here.