In Ada, compiler directives are called pragmas (short for "pragmatic information").
While it's not explicitly for C, this should answer your question anyway. However, as T.J. pointed out, there is no valid source given for this piece of information.
As with all things geeky, somebody was trying to be way too clever for their own good. Unfortunately its original meaning becomes lost to the rest of us (unless you have Google and a Latin/Greek to English dictionary handy).
The programming language Ada was quite possibly the first compiler to use pragma to specify preprocessor directives. The word was used as a shortened form of "pragmatic information"
When the C programming language was designed it didn't initially have pragma directives, but was quickly added to the specification to support custom compiler features. (ie. #pragma optimization_level for the intel C++ compiler)
Since then many languages have implemented pragma in some form or another, including C#, but they are often limited to build time warnings and optimization hints.
One of the most common and useful pragmas, in non-standard C and C++, is #pragma once used to specify that a file should only be included once.
A pragma (from the Greek word meaning
action) is used to direct the actions
of the compiler in particular ways,
but has no effect on the semantics of
a program (in general).
I like the (last caveat) there...
This cross references well with on-line greek dictionaries (e.g. as quoted by Martin York) that say pragma (πράγμα, as commented on the original question by asveikau) means:
that which has been done, a deed, an accomplished fact
what is done or being accomplished
spec. business, a commercial transaction
a matter, question, affair
spec. in a forensic sense, a matter at law, case, suit
that which is or exists, a thing
Seems the key to understanding is the word action rather than information.