Vanitas' name is derived from the Latin word for "Vanity" or "Emptiness". The name was chosen for its meaning, the similarity to the name "Ventus", and as it's a written pun on "Sora" in Japanese.

Tetsuya Nomura: I wanted to give him a name that meant "empty", and so I looked for something that would be appropriate. When I was searching I found a word that meant "emptiness" in Latin, "Vanitas". It looked a lot like Ventus's name, and in Japanese it has the kanji for "sora" in it, so I thought it was perfect. Of course in Vanitas's case it doesn't mean "sora [sky]" but "kara [empty]" [These two words are written with the same kanji, but are said differently and have different meanings.]
Contributed by Tuli0hWut