Why is that? It's just a name referring to royalty, really, as mahaj means 'great' and 'raj' comes from ruler (often via the form of 'king'). 'magnus' and 'rex' in Latin form. In other words: airline nobility or royalty, the highly regarded chosen ones that get special treatment. A fitting name for the DYKWIA-community.
Now if we're looking at 'kings', we can see that many kings in the world actually were females. King Anna, queen of Poland, Beatrix and her mother Juliana and again her mother Wilhelmina in The Netherlands were technically king by title while going on the 'queen' title in daily life. There are plenty more examples where the constitutional vacancy 'king' is carried by any suitable heir to a throne, male or female (or anything else). Especially in a modern world, lots of titles have been equalized as to eradicate any difference between males and females and make them more neutral, also because of the rise of the social construct of having several more genders around and being inclusive to those. 'King' can just be one of them, as emancipation works in every direction: the goal should be equality for all, not suppression of males.
It's not sexist until you make it so by being a drama queen about it. Drama queen? No drama king? That's sexist!
ps. Has it ever occurred to you that every thought you have is discriminating, sexist and suppressive in some way? That's first of all because the language you think in is gendered. The hypothesis of Sapir and Whorf actually points out the overlaying issue here: our worldview and thoughts are limited and shaped by the language we think in. Great food for thought, isn't it?