The "Oh Henry" name has nothing to do with Hamerin' Hank the baseball player or O. Henry the author. This Henry was the name of a young man who used to come to the Williamson Candy Store in Chicago where chocolate was being made and sold.
Henry would kid around with the young ladies who made the candy. After awhile, they began asking Henry to do little jobs and favors. "Oh Henry, do this" or "Oh Henry, will you get me that?" Later that year (1921) "Oh Henry" became the name of the new candy bar.