Before you are tempted towards a grammatical rabbit hole concerning the vagaries of transitivity, be assured that the Messier Objects under discussion here do not arise from the comparative of messy, but rather from Charles Messier (pronounced /me.sje/), who breathed his last two hundred years ago this month (on April 12th, to be exact). Astronomer Messier is responsible for first identifying celestial phenomena that we know today as nebulae and galaxies but that were suitably named after him at the time as Messier Objects, in a catalog of them that he produced. The anniversary of his death is a great opportunity to gaze into the night sky and examine the curious patterns in the way we name faraway objects that were known to us for most of human history only by their luminous appearances.
Words we use in English for the singular and unique phenomena apparent to us when we look up—sun, moon, sky, star, and generally, heaven(s)—are all native Germanic words that have been in English since at least the 13th century. That makes sense, in that each of these things is unique, unmissable, and unlike anything else in our experience. When we go beyond these basics, however, the names we have settled on for what we find in the night sky take on interesting patterns.
Monsieur Messier began his quest to document and place fixed objects in the sky because he was interested in discovering comets. A comet, rather than being fixed in the sky, orbits the sun elliptically and is therefore visible from earth predictably but infrequently. The source of comet is ultimately a Greek participle meaning "wearing long hair"; a strange choice, surely, if you judge by association of ideas, but not so odd a choice if you judge by association of appearances. The original Greek term ἀστὴρ κομήτης, astar comatas, "longhaired-star", is a perfectly straightforward description of a comet, like this one depicted in the Bayeux Tapestry.
The instinct exhibited here, to name an unfamiliar object (comet) by reference to a familiar one (long hair) is an exemplary case study for the way we have settled on many other features of the night sky.
Messier, in his quest for comets, was eager to identify the relatively fixed objects in the sky so that he and other comet chasers like him would know their locations and not confuse them with comets. It is testament to his influence that these objects today are still called Messier Objects, but it's also not surprising that modern science, with its inherent analytical bent, has analyzed them further. Some Messier Objects are more precisely called nebulae. What's a nebula? It's a large, luminous cloud of gas and dust far out in space, and was suitably named by borrowing the Latin word for fog or mist, in accordance with the nebula's appearance. Nebula had already been pressed into service in English for other cloudy things so it wasn't a great stretch to appropriate for heavenly use, and it's another example of the pattern of naming in unknown thing by association with one that is known.
Some of the Messier Objects turned out to be not nebulae but galaxies. If you were playing a word association game it's virtually certain that your response to the word galaxy would not be "milk". If you heard the adjective galactic, on the other hand, and if you were a scholar of Latin or Greek, a faint bell might tinkle since the syllable -lact- refers to things connected with milk (e.g., lactose, lactic acid, lactation). No coincidence here: the source of galaxy is Greek γαλαξίας κύκλος, galaxias kuklos, "milky circle," or as we term it, Milky Way. If you're lucky enough to have access to a dark sky environment on a regular basis like the ancients did, you know that the objects of our galaxy form a milky band through the heavens that was suitably named by association.
Borrowing from ancient languages because they "got there first" emerges in some other heavenly words. We classify things generally that appear in the sky under the adjective celestial—a word that has the good fortune of being euphonious in English, and one that enjoys pleasant associations. Its origins are in the Latin word for sky, caelum, which will look familiar to speakers of Romance languages. Those who have recited or heard the Nicene Creed in Latin may also recognize its use in the opening sentence: Credo in unum Deum, Patrem omnipotentem, factorem caeli et terrae, visibilium omnium et invisibilium, or as it's usually rendered in English, I believe in one God, the Father almighty, maker of heaven and earth, and of all things visible and invisible. English speakers, especially North American ones, might think of the popular Mexican song Cielito Lindo, one translation of which is "lovely sky".
English gets its greatest celestial mileage from a native word that has an easily spottable cognate in other Indo-European languages: namely, star. It's not at all far removed from Greek ἀστὴρ, astar, from which we get not only aster (the flower), but also stellar, astronomy, astral, and asteroid. These are all somewhat technical terms relative to their etymological source, and they follow the pattern seen widely in English of incorporating or preserving Latin and Greek elements to add to a word's gravitas.
Given Messier's time and place, it's not surprising that his view of the sky was limited. His rather primitive telescope was able to locate only rather brilliant objects that appeared in the night sky at the latitude of France where he lived. Today, amateur astronomers still gather occasionally to take part in a Messier Marathon, in which they attempt to locate as many of the original Messier Objects as they can in a single night. True to the pattern that prevails in naming objects in the night sky, the Messier Marathon is named with reference to the familiar long and demanding race, examples of which are run all over the world today. And these all derive from Marathon, Greece: the site of a victory of ancient Greeks over Persians in 490 B.C.E., the news of which was carried to Athens by a long-distance runner who, perhaps, gazed up occasionally at the night sky and noted glistening objects, some of which he had names for, and others for which names were yet to come.