This name has plenty of revelance to the character, so I'll avoid going on tangents! Often in the game you hear people calling her 셰라자드님 (Sherazard-nim). It's a formality like Sir/Madam. Early in the game Saladin and Sherazard call one another Saladin-nim and Sherazard-nim, but later on Saladin drops it.
The name Sherazard is actually based on Shahrazad. Which also can be spelt as Shehrazad, Schahrazad, Shahrzad, even Scheherazade. Shah simply means king, which is why it prefixes many Persian names.
Shahrazad is a literary character depicted in "The Thousand and One Nights", also called "The Arabian Nights' Entertainment" (Arabic Alf Laylah Wa Laylah). It's a collection of Oriental stories of uncertain date and authorship whose tales of Aladdin, Ali Baba, and Sinbad the Sailor have almost become part of Western folklore. As in much medieval European literature, the stories, fairytales, romances, legends, fables, parables, anecdotes, and exotic or realistic adventures are set within a frame story.
Its scene is Central Asia or "the islands or peninsulae of India and China," where King Shahryar, after discovering that during his absences his wife has been regularly unfaithful, kills her and those with whom she has betrayed him. Then, loathing all womankind, he marries and kills a new wife each day until no more candidates can be found.
His vizier (a high officer), however, has two daughters, Shahrazad and Dunyazad; and the elder, Shahrazad, having devised a scheme to save herself and others, insists that her father give her in marriage to the king. Each evening she tells a story, leaving it incomplete and promising to finish it the following night. The stories are so entertaining, and the king so eager to hear the end, that he puts off her execution from day to day and finally abandons his cruel plan.
Though the names of its chief characters are Iranian, the frame story is probably Indian, and the largest proportion of names is Arabic. The tales' variety and geographical range of origin, India, Iran, Iraq, Egypt, Turkey, and possibly Greece, make single authorship unlikely; this view is supported by internal evidence, the style, mainly unstudied and unaffected, contains colloquialisms and even grammatical errors such as no professional Arabic writer would allow.
Sherazard's situation is very similar to Shahrazad's. The Granduke Beaumont (who was replacing for King Clauzewitz) would be King Shahryar in this comparison. John hates all of Tur for having been held captive there in the past and the loss of his brother (who really survived), while Shahryar hates all women for having been betrayed by one.
To try and "even the score" Shahryar marries and kills his wives, while John forces Sherazard (Sultan of Tur) to be his wife. In the end both Shahryar and John realize their mistakes, but at a high price.
Another, more deeper connection is the idea of an endless cycle being manipulated by them, in hopes that they can end their suffering. Shahrazad keeps telling stories endlessly, while Sherazard relives the Space of Mobius endlessly.