After her second-round win at the French Open, Venus was asked what she wanted the baby to call her.
Said Venus: "She's going to call me 'favorite aunt.'"
Venus also added that she and her other sisters are pushing for the child to be named after them.
Serena, who is about six months pregnant, was at Roland Garros on Wednesday, watching her older sister beat Kurumi Nara of Japan in straight sets.
Serena had accidentally announced she was pregnant to the world via Snapchat in April, posting a picture of herself standing sideways with the caption "20 weeks" before deleting it. That same day, a spokesman for Williams confirmed that Serena was pregnant.
She announced in late December that she was engaged to Reddit co-founder Alexis Ohanian.
The 23-time major champion will not play again in 2017 due to her pregnancy and plans to return in 2018.
The Associated Press contributed to this report.