Tom, It just happened that the folks doing the naming lived on a planet later named Earth.
They were only aware of one "sun" and one "moon".
SUN: Origin Old English 'sunne', of German origin, related to Dutch 'zon' and German 'sonne'; from an Indo-European root shared by Greek 'helios' and Latin 'sol'.
MOON: Origin Old English 'mona' of German origin, related to Dutch 'Maan' and German 'Mond', also 'month' from an Indo-European root shared by Latin 'mensis' and Greek 'men' (month). Also Latin 'metiri' (to measure - the moon being used to measure time).