A picture is worth a thousand words, so let's take a look
Referenz: Jan Kandziora, Bananenstecker2, CC BY-SA 3.0
As you can see, there is a banana shaped spring. "Banana shaped" doesn't refer to the pin, but the spring which is part of the pin and holds it in place.
Or as english Wikipedia says
The pin has one or more lengthwise springs that bulge outwards slightly, giving the appearance of a banana.
From the comments: @DavidRobinson "I wonder if there any evidence to support this or any evidence as to who first called it a Bananenstecker. Or whether it was named first in German or in English."
I tried to look up the origin of the word Bananenstecker. Whether it's some kind of marketing, made up by the inventor or a nickname given by the users. Unfortunately i couldn't find any "hard" evidence. The patent is described as
Stecker mit Klemmvorrichtung fuer den Anschlussdraht im Isolierkoerper
and i wasn't able to look up the whole patent description in order to see if Hirschmann called it "Bananenstecker" or "banana shaped" back then.
But looking up old books from the late 1920s you will find it frequently used as early as 1925. 1 year after its invention.
ETZ: Elektrotechnische Zeitschrift: Ausg. A., Band 46,Teil 1 (1925)
Die Firma Hans Boas hat nunmehr eine Neukonstruktion auf den Markt gebracht (Abb. 10), die äußerlich dem Bananenstecker ähnelt, durch
Wissenschaftliche Abhandlungen der Physikalisch-Technischen Reichsanstalt, Band 9 (1926)
Die leitende Verbindung zwischen den beiden Plattensystemen je zweier aufeinander- gesetzter Kondensatoren erfolgt durch Doppel- Bananenstecker.
Books using the english "banana plug" or "banana connector" seem to be published a few years later around 1930
The Wireless World and Radio Review, Band 26 (1930)
The more modern "banana" plug, which is of tubular form with, four slots which do not extend quite to the end
Therefore i presume the german word "Bananenstecker" was first.