Lots of names in vidja games (and especially Final Fantasy) are taken from various mythologies.
If memory serves me, someone said that all Padjal names are based on Ainu, the native people of Hokkaido. Don't remember who and can't find a source, but...
Midgardsormr was (is?) a gigantic serpent from Norse mythology, so massive he is able to wrap around the Earth (Midgard) and bite his own tail. I think he clashes with Thor at Ragnarok and dies? Never studied Norse mythology much, to be honest.
Gaius van Baelsar... Gaius was the name Julius Caesar took on after crowning himself emperor (his full name, rarely quoted, was "Gaius Julius Caesar"). "van" is his title and station within the imperial army. Not sure where Baelsar comes from.
Glasya Labolas is one of the 72 demons in the Ars Goetia, a book for sorcerers.
Nero is also the name of a Roman emperor. Translated from Latin it means "black."
See above for Gaius.
Not sure about Yda and Thancred.
Thordan is probably a slight extension of "Thor," the Norse god of thunder (played by hunk Chris Hemsworth in the Marvel Cinematic Universe). Kind of fits, since Thordan is at odds with Midgardsormr (if only indirectly) and fights dragons.