Harry lost his parents when he was very young, so the love and yearning for Lily and Zhan Mu has been filled with Harry's brain and thinking.
Harry has been longing to be reunited with them.
To name the children Lily and Zhan Mu is to some extent a nostalgia for Lily and Zhan Mu, and also a yearning for Harry's feelings. There is no taboo in naming children abroad, so I think this should be the reason why he named their parents.