There is some debate over whether Athens was named after Athena or the other way round, The same is also said of Rome and Romulus so this should be added.
What about Sofia? A bit hard quiz, particularly when I first thought that countries were asked, and wondered why neither St. Lucia nor Philippines were accepted! :)
Sofia is tricky. The capital is named for the Church of St. Sofia which refers to "wisdom of god" rather than a real (or biblical) person. On the other hand, orthodox church apparently used Sophia as a synonym for the Holy Mary...