ThunderSqueak

Darkrai the moon moon of Pokemon. His name means dark dark

Pika means vagina on my language so I guess Pikachu is vagina squeak

There is a fair chance that any figure of speech or made-up thing in Japanese is a pun of some sort. On a related note, there's a commonly-known mythological Japanese thunder spirit called "Raiju."

I prefer to think "chu" as a kiss/smooch