Guinea pigs have that name composition in a couple of languages. You learn German, so you might want to know that it's "Meerschweinchen" there (Meer-Schwein-chen - Sea-pig-let), and in Russian it's likewise "морская свинка". They probably just came across the sea to Europe.
I'm more stumped by "Guinea" in the English term. Guinea is a region in Western Africa, but Guinea pigs come from America.