Check out the short outtake from the interview below, according to Jeremy, he was the one who created the name "The Weeknd"...
We became pretty good friends, hanging out every day. At first it was working pretty well, but then I don’t know if it was a change in his heart or the people around Abel trying to guide him, but he was starting to push for doing club tracks and I didn’t really want to [do that]. We started as a group; it was he and I, and we called ourselves “The Weekend.” I came up with that name, by the way.