Following the fact that the name of the Python language is taken from the Monty Python comedy group, it's a reference to the "Cheese Shop" sketch they did.
In the sketch, a customer becomes frustrated because the cheese shop apparently does not have very many kinds of cheese available. Similarly, the package index PyPI did not have many packages available originally.
There have been other prominent Python projects that have used the same approach to select names (Bicycle Repairman and Grail are the first that come to mind)
