A little background…
Incorporated as "Cadabra" in July 1994, Jeff Bezos renamed his new online store Amazon.com in 1995, but not before purchasing the URL Relentless.com and briefly considering the name, which was dropped for not being welcoming to consumers, though the address still brings you to Amazon.com today.
Bezos was concerned about branding and liked the sound of Amazon, which conjures imagery of the exotic South American Amazon rainforest and the Amazon River that runs through it. Foreseeing his store becoming the biggest in the world, he also liked that the Amazon River was the largest river on Earth (it's the largest by length, drainage area and discharge).
Choosing a name that began with "A" was also ideal because it would occur at the top of alphabetized lists, including those assembled by early search engines.