Space explorers have chosen names that honour important scientists: Hubble space telescope, James Webb space telescope (his family name alone would not do!), Cassini-Huygens probe, Galileo satellite navigation system and so on.
Making an exception from this tradition NASA has given the following names to the Mars rovers
Curiosity is an excellent name for the Mars rover. It reminds us about a fundamentally significant characteristic in humanity that it is so strong that American tax payers are ready to accept spending billions of dollars to satisfy our curiosity about the Red Planet and its ancient waters and life forms.
As wikipedia writes
Curiosity (from Latin curiosus "careful, diligent, curious," akin to cura "care") is a quality related to inquisitive thinking such as exploration, investigation, and learning, evident by observation in human and many animal species. The term can also be used to denote the behavior itself being caused by the emotion of curiosity. As this emotion represents a thirst for knowledge, curiosity is a major driving force behind scientific research and other disciplines of human study.