I did some research. The original Japanese name of the game, rendered in kana syllables, is:
KA-TA-MA-RI DA-MA-SHI-I
which means "clump of souls":
katamari = lump, mass, group
tamashii = soul, spirit (the T on this word becomes a D in combination)
and for who knows what reason has been converted to
KATAMARI DAMACY
in English. To spell it properly, think of a gangsta rapper talking about "da Macy's Thanksgiving Day Parade" (yo, check it, dat Undadawg balloon is da shizzle.)
Thank you for your corporation.
[turtle suddenly gets picked up by a large rolling ball of things and goes "aaack"]