Following on from what Jen said, the Norse god's name (Tyr; it became Tiw in England) is based on an older word that literally means 'great male god'. And 'day' means 'day'.
The first-known person in (relatively) recent times to use Tuesday as a name was actress Tuesday Weld, who used it as a stage name. It was based on her nickname, TuTu. That was based on her baby sister's attempts to say Tuesday Weld's given name, which was 'Susan'.