The name Wednesday is a girl's name of English origin meaning "Woden's day". Wednesday and is often added to lists like Attitude Names for Girls and discussed in our forums with posts like "Outlandish this-or-that [girls]".
From the experts:
Name made famous by the macabre character Wednesday -- middle name: Friday -- Addams is taken from the name of the day dedicated to the Anglo-Saxon god Woden, who relates to Mercury. Cartoonist author Charles Addams was said to choose the name because "Wednesday's child is full of woe."