I had an argument with a friend regarding etymology of the word "Oz" in "The wizard of Oz". I believe that it doesn't have any etymology, and that generally most proper nouns don't have any origin. He believes that literally all words have etymology, even though I could come up with a random name that doesn't have any meaning whatsoever right now. What's your opinion?
The Wizard of (the land of) Oz, actual name Oscar Zoroaster Phadrig Isaac Norman Henkle Emmannuel Ambroise Diggs (shortened to OZ exc. pinhead ) hailed according to the story from America not Australia. Baum is reported as saying that the name "OZ" came from his file cabinet labeled "O–Z".
Strictly speaking since Baum did not originally intend for The Wonderful Wizard of Oz to have any sequels, it appears that until 1907 most like me would have to assume from the first book, the land or wizard were named after the other.
However Later in Dorothy and The Wizard in Oz. (1908) p192-196
"Please tell me, Mr. Wizard, whether you called your-self Oz after this great country, or whether you believe my country is called Oz after you. It is a matter that I have long wished to enquire about, [...] No, one, I am sure, is better able to explain this mystery than you."
[...] my father, who was a politician, named me Oscar Zoroaster Phadrig Isaac Norman Henkle Emmannuel Ambroise Diggs, Diggs being the last name because he could think of no more to go before it. [...] I just called myself O. Z., because the other initials were P-I-N-H-E-A-D [...] I painted the two initials : 'O. Z.', to show that those things belonged to me [...] I announced myself the Ruler of the Land of Oz, [...] the Ruler's name was always 'Oz' "
Thus I would say Oz or OZ has certainly much etymology.
[Further edit] Baum is toying with us about "Proper Nouns" (onomatology), since he is trying to explain OZ (the Wizard) is in no way related to Oz (the Land). However he anecdotally evolved both from a common ἐτυμολογία root:-
O-Z (the cabinet) as told to us by the man himself in 1903 
It matters not if this is true, since additionally, after the success of his books, Baum frequently signed autographs “Ozily yours.” image 2 of 3 and in 1909 the Baums moved [...] and ordered the construction of Ozcot, a whimsically designed house located off Holywood Boulevard. Thus all variations including those such as Ozily and Ozcot came from the single hand of L. Frank Baum (1856-1919).
Most proper nouns are either names of places or people , New York, New York, has its name derived from another place and equally many places can proudly show their pedigree derived from local historic roots. Naming children after their ancestors, or other characteristics, is common throughout the world. Onomastics attempts to find those roots and their increase decline and spread.
My argument to the implied question "Do most orthonyms have etymology" is that no mater how long or short their life they have a meaningful root, even if they are Ugg or Zog from 'Savannahstan'.
 supposedly from Schwartz, xiii, p. 272-273 Schwartz, Evan I. (2009). Finding Oz: how L. Frank Baum discovered the Great American story. Boston: Houghton Mifflin Harcourt. ISBN 0-547-05510-2.
 The Publishers’ Weekly April 18, 1903 [No. 1629] p 1021 L. FRANK BAUM, author of “The Wizard of Oz,” thus explains how he found the title for his very popular book: “I have a little cabinet letter file on my desk that is just in front of me. I was thinking and wondering about a title for the story, and had settled on ‘Wizard’ as part of it. My gaze was caught by the gilt letters on the three drawers of the cabinet. The first was A-G; the next drawer was labelled H-N, and on the last were the letters O-Z. And ‘Oz’ it at once became." A new edition of "The Wizard of Oz” will shortly be issued by the Dobbs-Merrill Company. The Publishers Weekly
see comments below and my previous source https://www.snopes.com/fact-check/the-oz-files/
All words come from somewhere. Where that is depends. Things can be made up out of thin air, or they can be passed down from previous speakers, changing or not from one generation to the next. Both can have transparent meanings or totally obscure ones.
There are two kinds of proper names, personal names and place names, and both have a lot of scholarship analyzing origins and meaning.
Place names, like for towns and rivers, often are the most conservative of all. Avon the river may (it is never certain) have been a Celtic word for 'river' ('aibhainn' is modern Irish for 'river'). The endings -den, -dun, -burg, -berg, often have very specific geological meanings (for types of hill). Some are entirely made up like 'Westward Ho!'.
Personal names are very cultural: many traditional European names have Christian origins, originally Hebrew, right alongside local ones. John, James, Daniel, Michael, and Richard, William, Henry, Edward. Last names are a somewhat modern invention and at some point were often chosen to be one's occupation (Smith, Miller, Taylor), location or ethnicity (Scott, Churchill, Disraeli), but often a patronymic (Williams, Johnson, McNeil).
As to 'Oz', the author Frank Baum made it up out of thin air. It's hard to go beyond that further back in time or psychologize. If Baum said 'I named it after a nickname for Australia... or maybe the sound my dog makes when he sleeps', then that's about it.
Does 'Oz' have a meaning? Sure, it's that place in the book. Does 'Elizabeth have a meaning? Sure, it's that girl you know even though 3000 years ago it was pronounced slightly differently and had a literal meaning 'oath of God' (possibly). Does the name 'Bob' have a meaning? Sure (to float up and down in water) but that's disingenuous: as a name it means 'that guy'.
The etymology of proper nouns (i.e.) names is formally called: onomastics
(a) The study of the origins and forms of proper names. (b) The study of the origins and forms of terms used in specialized fields.
The system that underlies the formation and use of proper names or terms used in specialized fields.
The adoption of second names or surnames in Europe took place from the 11th Century onwards. Surnames generally fall into four main categories:
Occupational names describe the subject’s profession
Locational names describe the subject’s dwelling or place of origin
Descriptive names distinguish the subject by some physical characteristic or by a mannerism
Patronyms are the adoption of the subject’s father’s first name as a surname
From the Greek word for name: onoma
And if the names are literary, like Oz, the term is literary onomastics.
Definition In the field of linguistics, onomastics is the study of proper names, especially the names of people (anthroponyms) and places (toponyms). A person who studies the origins, distributions, and variations of proper names is an onomastician.
Onomastics is "both an old and a young discipline," says Carole Hough. "Since Ancient Greece, names have been regarded as central to the study of language, throwing light on how humans communicate with each other and organize their world. [...]
. . . The investigation of name origins, on the other hand, is more recent, not developing until the twentieth century in some areas, and being still today at a formative stage in others" (The Oxford Handbook of Names and Naming, 2016).
Academic journals in the field of onomastics include the Journal of the English Place-Name Society (U.K.) and Names: A Journal of Onomastics, published by the American Name Society.
And names like the Wizard of Oz are called: fantasy names. Apparently, the annotated version: The Annotated Wizard of Oz contains a lot more information on this by Baum himself, but I can't access it hic et nunc.
In some cases, the etymology is "some guy made up the word". You can find plenty of etymological dictionaries that give etymologies like that. Sometimes there's more to it (e.g. "doublethink" is made of two actual words) and sometimes the word was probably pulled out of thin air (which is usually described as being "an arbitrary formation", e.g. "cromulent"). Sometimes it's not indicated either way.
The Oxford English Dictionary, for its sense of the word Oz meaning "[a]ny place thought to resemble the land or city of Oz" gives the etymology:
Etymology: < the name of Oz, a fictional city and land in the children's fantasy The Wonderful Wizard of Oz (1900), by L. Frank Baum (1856–1919), U.S. writer.
Other sources give a more thorough etymology. According to Snopes, Baum himself said that he got the name from a filing cabinet (a story repeated by one of his sons when he wrote a biography for his father in 1961 and also by his other son in 1965), but his wife says the story isn't true:
Baum himself had offered essentially the same story many years earlier in a press release drafted to announce the reissue of The Wonderful Wizard of Oz in 1903:
I have a little cabinet letter file on my desk that is just in front of me. I was thinking and wondering about a title for the story, and had settled on the “Wizard” as part of it. My gaze was caught by the gilt letters on the three drawers of the cabinet. The first was A-G; the next drawer was labeled H-N; and on the last were the letters O-Z. And “Oz” it at once became.
This evidence wouldn’t seem to leave much room for doubt, as Baum himself is undeniably the one person who knows how he came to choose the name, and this explanation comes straight from the horse’s pen, so to speak. Baum’s version does differ from the one offered by his son in that the latter places him in a roomful of children rather than alone in his study, but that difference might be dismissed as a mere literary embellishment on his son’s part. Even Baum’s version contains its own discrepancies, though, as various pre-publication references and copyright registrations reveal that Baum considered several titles for his book using the word “Oz” but not the word “Wizard” (e.g., “The City of the Great Oz,” “The Fairyland of Oz,” “The Land of Oz”), so clearly he had not “settled on the ‘Wizard’ as part of it” before coming up with the name ‘Oz.’ Moreover, Baum’s wife Maud wrote to a friend in 1943 that:
The word Oz came out of Mr. Baum’s mind, just as did his queer characters. No one or anything suggested the word — or any person. This is a fact.
Snopes then lists other possible etymologies of the word.
All words have origins and that includes names. They may be known or unknown, disputed or not disputed, simple or complex. And some details have been put forward here for Oz.
But there is an overriding issue here. Oz is in a fictional world. (Some would say Oz is the fictional world.) That means it has two etymologies. The out-world one could be the filing cabinet - where Baum actually got it from. Then there is the in-world one. This could be where the Wizard got the name from or where Baum says the name came from in the back story, which is completely different from where he says he actually got it from. When considering any proposed etymology you have to decide which it is supposed to be and judge it on that basis. It is, of course, technically possible that it could have the same etymology in both worlds.