Kermit was named after an old college buddy of Jim's. Gonzo though wasn't given the name based on the origin of The Muppet Show description, but rather, given the definition, Gonzo is an actual word that would also define his personality.
gon·zo
adj. Slang
1. Using an exaggerated, highly subjective style, especially in journalism: “a hyperkinetic, gonzo version of Graham Greene” (New Yorker).
2. Bizarre; unconventional.
I like the idea of Frank's name merging to become Fozzie. I read in "The Works" that one of the concern's of TMS was the creation of Fozzie who was specifically designed for Frank. It was necessary, thought the writers, that the theatre would have to have a comedian, and due to the nature of the show, it was inevitable he'd be a bad comedian. Fozzie was designed to be Frank's main character and showcase his talent, and it was thought that the show's popularity would be based strongly on his performance. They noted this as a difficult role for Frank to play because he had to develop Fozzie's personality so he wouldn't be manic depressive to to constantly being rejected from being a bad comedian, not be stupid and ignorant to his bad ability either, and in an un-funny way be very funny. Frank adopted the personality brilliantly quick and made Fozzie innocent and loveable. So the idea that Fozzie's name is such a personal thing of Frank makes sense to me.