I think the name is really bad in Brazilian Portuguese. Here "pika"* is a slang for dick. At the same time, it is still the sound Pikachu makes ("pika pika"). So maybe there is no problem.
* I don't know about European Portuguese.
The correct spelling for the slang would be "pica", but both have the same pronunciation.
* I don't know about European Portuguese. The correct spelling for the slang would be "pica", but both have the same pronunciation.