Well, he's Korean, and his Korean name is Jiyong...Since Yong means dragon and Ji sorta sounds like G, you get G-Dragon.
If you think his name is ridiculous, his bandmate's name name is T.O.P. (pronounced "top") and his group's name is Big Bang, lol.
I really love Big Bang...their music is awesome and whatever you think of G-Dragon's name, lol, he's a really talented composer, which is rare among kpop idols.