In American usage, Wednesday is the fourth day of the week. School children must work a little harder to learn to spell the name because it is pronounced Wens-day, but spelled Wed-nes-day.
The reason for the spelling is that the word combines the Old English possessive form of Woden with the noun for day: Wodnesdaeg, i.e. Woden’s day.
Woden was an important god worshipped by the Germanic tribes that migrated to England between CE 300 and 700. The name Woden is cognate with Norse Odin, but aspects of the two gods are not identical.
The Romans identified Woden with Mercury because, like that Roman god, Woden was a psychopomp, a spiritual messenger who comes to fetch the dead to the underworld.
Unlike French and Spanish, which adopted the name of the Roman god, English kept the Germanic deity in the name of the week.
Another Romance language, Portuguese, by-passes the ancient gods altogether and calls the fourth day of the week quarta-feira, “day four.”
NOTE: The Portuguese word for “day” is dia. Feira means “street market” or “fair.” In the Portuguese names of the week, feira can be construed as “market day.”