Keep in mind that Anorexia is simply a medical term for "lack of appetite", so I can see where they might have come up with that for a diet drug name, especially one that has the mechanism of action of depressing the appetite.
People have come to associate this medical term with the medical condition of Anorexia Nervosa and it's commonly referred to simply as Anorexia.
But I have to agree that given the common association with the term in society today, it's a poor choice of a name for a diet aid.