All of the members of the Tsviets are named after colors, hence the group's name (based on Zvet, the Russian word for "color").

Azul: Blue in Portuguese and Spanish.
Shelke: Orange in Urdu (a language spoken in India).
Rosso: Red in Italian.
Nero: Black in Italian.
Weiss: White in German.
Argento: Silver in Latin and Italian.

As for the names, chalk it up as an odd sense of humor.