It's because this train was introduced long before trains like TN and AP were introduced.
Back when this train was introduced, it was given the name 'Maharashtra' express as it served a large portion of the state. Similarly, Karnataka also had a 'Karnataka express' that used to run between Bangalore and Miraj.
TN,...
more... AP and KK were given those names as a political measure to appease the Southern states, which were unhappy at that time due to the lack of fast trains and due to the anti-Hindi sentiment going on there at that time.