A good attempt to provide us with The Origins of State Names:

IDAHO. Possibly taken from the Kiowa Apache word for the Comanche Indians.

But the commenters have their doubts:

It’s infamously known that IDAHO was named as a hoax by a US politician who claimed it was Native American for “Gem of the Mountains” but later admitted it was a hoax, but by then it had stuck.

Via The Presurfer