In the first chapter of the book Winnie-the-Pooh, A.A. Milne writes the following as to why the name is officially "Winnie-ther-Pooh" (though Milne never calls him that again anywhere in the stories):
When I first heard his name, I said, just as you are going to say, "But I thought he was a boy?"
"So did I," said Christopher Robin.
"Then you can't call him Winnie?"
"But you said---"
"He's Winnie-ther-Pooh. Don't you know what 'ther' means?"
"Ah, yes, now I do," I said quickly; and I hope you do too, because it is all the explanation you are going to get.