"The question is, what is a Mahna Mahna?"
"The question is, who cares?"
My best guess is that it was a song Jim Henson just liked and felt inspired to do a puppetry skit around. No real reason, just for the fun of it. These artsy, humorous song based skits are what The Muppets' acts were mainly composed of (besides
comically violent TV ads) before Sesame Street and The Muppet Show, as evidenced by
Sam and Friends and his various variety show appearances. It was a hit when he did it on those variety shows, so it only made sense that it would eventually wind up on The Muppet Show, along with other popular classic skits like Glow Worm and Java.