Probably because “Jonah” means “dove”, and so does “Columba”. And Columba was sent away on a boat to preach to a strange land, just like Jonah was sent away.
Someday, I will stop needing all these blinding realizations of the obvious….
Sure enough, the old public domain Encyclopedia Britannica mentions that some horrible puns are involved. Columba’s biographer Adomnan (the 9th abbot) called the place “Hyona”. “Hy” is one of the old words for “island” (like “Hy Braseal”) (and the Venerable Bede just called it “Hy” and left it at that). “Hyona” may mean something like “Hy Iona”, or it may be something like “Hy Thona” (silent “th”), or “Hy Shona” (elided “sh”). But plenty of commentators mentioned Jonah, so the monks were probably working the multiple punning meanings.
Btw, Columba/Columcille’s original name, before he became a monk, was “Criomhthann”, fox. So the fox became a dove of the cell, a dove of the church.
Of course, this means that Christopher Columbus was also a Jonah…. 
Not so blinding– I didn’t know “Columba” meant dove.
Which means that “Columbus” would mean something like “Mr. Dove,” and “Columbia” is “dove land.”
That’s…rather incredibly cool.