Khaleesi is a name taken from George R.R. Martin's epic book series As Song of Ice and Fire, which was also developed into HBO's hit show A Game of Thrones.
Khaleesi is what Daenerys Targaryen is known as to her followers. It is the Dothraki word for Queen. She received this title she wed Khal(Kingd) Drogo at the request of her brother.