Solgaleo is based off of the words sol and leo; I have no idea where the ga is from. Sol in Latin means sun, and leo is a zodiac sign, which is commonly associated with a lion. It's name pretty much describes what it is... A sun lion.
Lunala was the same type of thing. Lunala's made more sense, though. Luna means moon in Latin, and ala means wing. If you were to put the two together and say "Luna ala" It would mean "One wing of the moon." Since Lunala's full moon form is essentially just one big wing, it makes more sense than "Sun lion."
As for some mythology about them, I think we'd have to wait until the actual game comes out, that way we can get some more information about them. It would be a lot easier to get more details from them if we had their Pokedex entry.