This event was given this name because each of the words in the name apply to it.
Bataan is one of the provinces in the Philippines. It is a peninsula that helps to from Manila Bay. After the surrender of the US and Filipino forces on Corregidor, they were ferried over to Bataan where the march began. Therefore, the word "Bataan" makes sense.
The word "death" is used because so many people died on the march. The Japanese had not thought they would take so many prisoners and did not have enough provisions for them. Many of the Japanese were simply brutal for the sport of it. Between the deprivation and the brutality, 25,000 Americans and Filipinos died out of the 95,000 who started out.
The word "march" is used because the prisoners had to walk roughly 80 miles to get to railhead. The Japanese did not provide motor transportation and so the prisoners had to walk.