It's a play on Spelunking.
They see the data analytics capabilities of their product as the data-equivalent of Spelunking, climbing into the unexplored (data)reaches of an organisation, shining a light on the unexplored (data)caves and making sense of it.
They even have (or had) a t-shirt with a cartoon figure Spelunker in a cave which is made up of undecipherable data, but where the spelunkers torch shines the data in the beam is comprehensible.
I don't work for Splunk, nor with the product, but as part of looking into the product my company did some training on it.
