Even more peculiarly, anglo-saxon names actually do not reflect full Christianization of Rome itself: Saturday is still the day of Saturn rather than the Shabbath, and Sunday is still the day of "Triumphant Sun" rather than the "Dominicus" (belonging to the Lord). Which means they originated before the end of IV century AD, when Rome officially introduced these two Christian references in its weekday names (all others were maintained intact).
It has to be said also that Roman calendars were actually "pillaged" from Greek culture and then tweaked until right - a pragmatic approach they followed in so many different cultural and scientific areas when interacting with foreign civilisations. Unfortunately, they didn't go as far as trying to align the 7-day week (of Middle-Eastern origin) with their Greek-ish months, and their legacy ended up being managed by a Church that valued immutability over everything else. So here we are, 1600 years later, still celebrating the months of Julius (Caesar) and Augustus when the weather is the best around the Mediterranean Sea, the month of war-god Mars in the best period to start military campaigns in the same region, and with four months named by numerical positions they've long since changed... and still completely mismatched with 7-day weeks.
It has to be said also that Roman calendars were actually "pillaged" from Greek culture and then tweaked until right - a pragmatic approach they followed in so many different cultural and scientific areas when interacting with foreign civilisations. Unfortunately, they didn't go as far as trying to align the 7-day week (of Middle-Eastern origin) with their Greek-ish months, and their legacy ended up being managed by a Church that valued immutability over everything else. So here we are, 1600 years later, still celebrating the months of Julius (Caesar) and Augustus when the weather is the best around the Mediterranean Sea, the month of war-god Mars in the best period to start military campaigns in the same region, and with four months named by numerical positions they've long since changed... and still completely mismatched with 7-day weeks.