Markhor means snake eater.
Mar means snake and khor means eater, so it means snake eater.
There is no evidence that a markhor can actually kill snakes. Since markhors cannot actually kill snakes, maybe they were named snake eater for their horns that look so much like curling snakes.
Markhors are found in the mountain areas of Afghanistan, India, Pakistan, Tajikistan, and Uzbekistan. There are around 5,800 Markhors left in the wild. They live on steep mountain cliffs which makes it harder to be caught.
Here is a link to the what Wikipedia says about the Markhor