I've seen it spelled opossum, but I've never heard it pronounced that way. Since it's first recorded in early 17th century in American colonial promotional literature, I assume it's from a local Native American language. Later applied to the Oz marsupials when they'd been discovered. Their generic name is Didelphidae, probably something to do with Greek delphus 'womb'. Two wombs?

http://www.bartleby.com/61/74/O0097400.html