We've got this question so many times that we decided to explain our nickname online.
When our group was created in 1992, our founders made up plenty of names for the group. Besides the one we obviously picked, the only other suggestion was "Nashville Collegium." As many of you know, one of Nashville's oldest nicknames is "Athens of the South." In Ancient Greece, male worshippers of the Goddess Cotys honored her by dressing in women's clothes. The Greeks called a collection of worshippers a "collegium."
The inspiration for our group name came from the state's famous Tennessee Volunteers or "Vols". Vols then became Vals because it resembles "gals".
Since we got started, we have received numerous questions and comments about the name (One favorite: "I thought Vals might be an acronym. I thought it might stand for Very Alternative LifeStyles.") along with several other suggestions, but the Tennessee Vals we remain.
Now you know!