This one is really short, Today, some guy on the internet asked why is the asymptotic form O(n) is pronounced Big Oh? I instantly answered "because we are using the capital letter O to write it".
This answer is wrong, the letter used is the Greek letter Omicron.
So that's why it's pronounced Big Oh!
And the same reason applies to Big Theta, and Big Omega, because of using the Greek letters Theta and Omega represented in the above picture (the second and third figure respectively). It's all coming from the Greeks buddy!
And probably this is also why the word Geek is so close to the word Greek in spelling, I'm not sure about this one though.