Well, Azul means Blue in Spanish, and Mega Heracross is blue, so that explains AZUL
SABLEVOLANT however, is a little more complicated. Sable is actually a Marten, which is a small mammal native to Japan and Siberia, looking similar to Mega Manectric. Volant means "to fly" in Latin, and the only Mega Pokemon of the 4 that looks like it can fly is Mega Tyranitar, as it has wings.
That's all the information that I have, someone can edit this answer if they have anything to add.