The airport is coded CVG because Covington, KY was the closest city when the airport opened. That's why Delta has been pushing hard lately for FA's to call CVG the "Cincinnati/Northern Kentucky International Airport"

If you were to ask somebody off the streets where Covington, KY (or even better, Erlanger, where OH is HQ'd) was, they'd probably have no idea but Cincinnati is a much more well known city so therefore that's where the name came from.