Idaho and Iowa

It is possibly the only state named due to a hoax. Lobbyist George Willing suggested the name “Idaho” for the new territory claiming it meant 'Gem of the Mountains' in a Native American language. It was later revealed Willing made up the name and the original Idaho territory was re-named Colorado because of it. Eventually the controversy was forgotten, and modern-day Idaho was given the made-up name when the Idaho Territory was formally created in 1863.

Des Moines, Iowa has an even more interesting origin. Two stories persist, the first that it was given the name La Rivière des Moines, literally meaning 'River of the Monks', by early French explorers. The second is that Peoria Indians told the first white settlers their rival tribe living in that area was named the Moingoana, which became the root of Des Moines. 

Indiana University researchers studied the extinct Miami-Illinois language and discovered that Moingoana, translated literally, meant 'shit faces' and agrees with the commonly held notion that the 'Moines' in Des Moines is a French derivation of Moingoana Since neither can be proven, I'll go with the second.