Yes, "Nor'easter" is derived from "north-easter" meaning the winds come from the northeast. That is exactly what happens in a nor'easter.
You are confusing the wind direction with the travel direction of the storm. The whole storm moves up the coast, but remember these are counter-clockwise rotation cyclonic storms. The winds that bring the most stuff and the notorious bad weather hit the New England coast from the ocean. These are usually the leading or northwesterly regions of the storm, so the winds themselves come from the northeast.
Remember that the names evolved long before people understood large scale weather patterns. All people in Cape Cod, Gloucester, or "down east" Maine knew was that the nastiest weather accompanied by serious precipitation come howling from the northeast. While not universally true of course, it's actually not that far off in the larger scheme of things. "Normal" weather here in New England comes from the west. Notable exceptions are the "Montreal Express" being cold and dry from the northwest, and a nor'easter bringing strong winds and serious precipitation from the northeast. "Nice" weather from the northeast basically doesn't happen here. The old mariners and fishermen knew a lot about local weather without understanding the global picture.