Here is the paper that first defined them:
Armstrong JB, Adler J. 1969. Complementation of nonchemotactic mutants of _Escherichia coli_. Genetics 61:61-66.
Che is an abbreviation of chemotaxis. In this paper, complementation studies revealed three different loci that, when mutated, result in defective chemotaxis. These were termed CheA, CheB and CheC. Originally they were thought to be genes, but the following paper refined the definitions when the CheA locus was found to contain CheA and CheW genes while the CheB locus contains CheB, CheX, CheY and CheZ genes:
Silverman M, Simon M. 1977. Identification of polypeptides necessary for chemotaxis in _Escherichia coli_. J Bacteriol 130:1317-1325.
I'm not going to search for the discovery of every Che gene, but hopefully you have an idea of where the letters come from.