Winchester wasn't their original last name. Originally, Kripke wanted Dean and Sam's last name to be Harrison as a tribute to Han Solo, but a real-life Dean Harrison living in Kansas already existed. So, the lawyers made Kripke change the last name, which he said came from the Winchester Mystery House.
The term is derived from Medieval Latin supernaturalis, from Latin super- (above, beyond, or outside of) + natura (nature). Although the corollary term "nature" has had multiple meanings since the ancient world, the term "supernatural" emerged in the Middle Ages and did not exist in the ancient world.