The team was first called the Highlanders since they played in Bronx, the "highest" part of NYC.
In Apr, 1913 the Highlanders were officially renamed the "Yankees" after moving to the Polo Grounds, home of the National League's New York Giants.
Thats all it says on their official site!
Encyclopedias are of the opinion that its derived from Jan Kees. This was a put down term that a German used when refering to a Dutchman.