They do make piggy grunting noises too, and a surprising amount of foot-step noise when galloping about.
I think it's quite a new name, together with hedge-pig (hedge-hog, of course, like wild boar, ought to be just the males).
Before it became widely used (about a century ago?) they were generally called urchins -- a name we now usually only use for the spiny sea thing, which was itself originally named after the land one.