The best translation I can hash out for Mor Dhona translates to something like "forget death!", from Mor[n] (kill / death / die) Do[h](leave / discard / forget)+Na (used at the end of an order for emphasis).
Prolly not accurate, but if I had to guess I'd say it's an eternal place in Eorzea and was named for that reason. Either that or because that's where Midgardsormr, a seemingly immortal dragon, resides.