My 4 year old son just asked me this, and I have to say I am totally stumped.
I hate not telling him things, so here's hoping you guys can dig me out of this hole.
You can't fault his logic!
Good question, indeed. The quick answer is that he is thinking visually instead of orally. As Wikipedia states, w derives from a u sound, but m does not derive from n. The happenstance of the visual representation is mere coincidence. I dare you to use that last sentence with a four year old. :)
I asked this when I was about four. I was told to find out myself ..
Original derivation of 'W' is actually 'double vee', from the Roman/Latin 'U' (which was actually 'V' or 'five').
Original derivation of 'M' is from the Greek 'Mju', based on the much earlier Phoenician 'Mem' (a squiggle). This symbol for water is pre-Assurian, ie. older than recorded history. (from museum trip, when I was 15)
They are NOT related.