Wikipedia says that the source of the name could be either that the recipe is from the "from Parma" which also how the cheese got its name, or that it comes from a Sicilian dish, and that name derived from "parmiciana" which referred to cooking on slats of wood. There is also a version of the dish that does use Parmesan cheese.
Source(s):
http://en.wikipedia.org/wiki/Parmigiana

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