In the early days when the kernel was small (I used to build kernels and copy them to floppy disks, and boot Linux from there) the kernel was called 'vmlinux', and when compression was added after the kernel started to get bigger it became 'vmlinuz'. It was still possible to boot from 'vmlinux', and it may be possible today as well, for all I know.
And 'vmlinux' was inspired by the 'vmunix' (Virtual Memory Unix) the UNIX kernel.