Can anyone explain to me why they are not referred to as "pickled cukes"?

But... you didn't use cans

Canning is the process, not the container.

It was a joke

Not true, the fruit's name predates the colour by a couple of centuries at least (and even then the root words all referred to the fruit so even if the colour had come first in English, it still would have come through the fruit). There are historical references to it being described as a "red fruit" (in the same way we still retain the archaic use of certain descriptions such as the obviously orange "redheads" or "robin redbreasts").

Counter intuitively, you are correct about that.
http://m.huffpost.com/us/entry/2258240