Couldn't find any info online, but on the sagittarius a wiki page (not the black hole, the radio feature) talks about elite in the popular culture section. lol
Famous objects in space are often named after figures in greek mythology, It seems fitting that the black hole holding our galaxy together be named after the primordial force that is often depicted as a bottomless pit. Plus, it sounds cool.
Forward your suggestion to the International Astronomical Union perhaps? And if they do decide to rename Sagittarius A*, then there'll be a strong case for renaming it in Elite: Dangerous too.
Just take care, lest we end up with "Sucky McSuckyface" or something similar.