The story
Most likely from Exodus + -ia. There is no evident semantic connection between the meanings of the components and the character Exodia himself. Although the character is meant to be of male gender, the name has been interpreted as feminine because of the apparently feminine suffix, most notably in Germany, where the name "Exodia the Forbidden One" was translated as "Exodia, die Verbotene", die being a feminine article.
Etymology from Wiktionary, CC BY-SA 4.0.