Like JK said, [strike]Nehalem is an ancient city in Israel.[/strike]
EDIT: Intel usually (if not always) uses city (or town) to name their processor lineup.
i.e. Prescott is in AZ (at least that I know of)
EDIT2: As JK pointed out (and I didn't look at the link), Nehalem is actually a town in Oregon. I apologize for the misinformation. Thanks to Silverion77 for pointing that out.