The name Xenu comes from the Church of Scientology's mythology. To quote Wikipedia:
In Scientology doctrine, Xenu (also Xemu) is a galactic ruler who, 75 million years ago, brought billions of people to Earth, stacked them around volcanoes and blew them up with hydrogen bombs. Their souls then clustered together and stuck to the bodies of the living, and continue to cause problems today. These events are known to Scientologists as "Incident II", and the traumatic memories associated with them as The Wall of Fire or the R6 implant. The story of Xenu is part of a much wider range of Scientology beliefs in extraterrestrial civilizations and alien interventions in Earthly events, collectively described as space opera by L. Ron Hubbard, the founder of Scientology.
You can find out more about Scientology on Wikipedia's Scientology page on Xenu. At the very least, you'll see that Tom Cruise is a bigger whack job than you might have thought.