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I remember the late, great Godfrey Cambridge talking about this. In an exaggerated street accent, he said that the provenance of the name was from a guy holding up the bottle, and saying "what's this here sauce?"
American pronunciation of English place names always makes me smile. It's so easy - you say Worcestershire as Wustershire and Leicester as Lester.
Hmm. We have both of those place-names in Massachusetts (Worcester and Leicester), along with Leominster and Gloucester, and that's how we say them. Well, some people say Wustah or Leicestah or Gloucestah or Leominstah, but you get the idea.