Looking at the MR ad for the Bachmann 2-6-6-2 locomotive (which is a very nice looking locomotive, and one of my favorite configuration), I noticed they had to kinda dance around the fact that this configuration lacks a 'class name' like Atlantic, Mountain, Prairie, etc. Since there were quite a few 2-6-6-2 around (>900), I wonder why this type didn't get a name (looking at my "Guide To North American Steam Locomotives, it seems the 2-8-8-2 also didn't get a name - were Articulated locomotive classes usually not given names, and where they the only ones besides switchers: 0-6-0s and 0-8-0s?)
Well, some 2-6-6-2's sort of did get a name. A particular style was invented by a man named Antoine Mallet (Mal-lay), IIRC. So, sometimes, they are called "Mallets". Unfortunately, so where all other compound articulated locos made after the Mallet design, no matter the wheel arrangement.
My guesses as to why the 2-6-6-2 as a class didn't get a nickname is that they weren't really all that many of them compared to other types, and they certainly weren't as widespread (as compared to, say, 4-6-2's).
Also, they weren't in the limelight all that much. Most of the named engines were all a point of pride to the RR's that had them, and slow lumbering 2-6-6-2's and co. aren't exactly great public relations, nor do they have the raw power that later, bigger engines had.
They also weren't totally unique by one manufacturer, either. Shays, Climaxes, and Heislers were named after the company that made and invented them. 2-6-6-2's were made by several companies.
At least, those are my theories...