Why is Sunday not
Why is it the only day that doesn't follow the Hellenistic naming convention?
That is more a Latin language question as the change predates the French language emergence but nevertheless in Latin "Sunday" used to be named dies solis (day of the Sun), just like it is in English and many northern Europe languages.
This changed when Emperor Constantine the Great, who converted to (or at least supported) Christianity, first decided dies solis to be the weekly day of rest on March the 7th 321 A.D. and then Emperor Theodosius I renamed it dies dominicus (day of the Lord) on Nov the 3rd 386 A.D.:
Solis die, quem dominicum rite dixere maiores → Day of the Sun, more correctly named: of the Lord.
Dies dominicus gave the French dimanche although old French used diemaine from dies magnus (great day) for Sunday. Should this had not happened, Sunday would have likely been named "soudi" in French.
There is a similar difference affecting Saturday. This used to be the day of Saturn (dies saturni) but it was replaced by dies sabbatum then late Latin sambati dies after the Hebrew day of Sabbath. In romance languages, it is still named after it: fr. samedi, sp. & port. sábado, it. sabato, cat. & oc. dissabte, rom. sâmbătă… German has both Samstag "day of Sabbath" and Sonnabend = "Sunday eve", Russian has cуббота (subbóta) and Polish sobota which also refer to Sabbath.
It is worth noting that all romance languages followed the Theodosius rule (it. dominica, sp. domingo, cat. dimenge, rom. dominica, etc.). There was also later, in medieval Latin, an attempt to remove any reference to the remaining pagan divinities (Moon, Mars, Mercury, Jupiter, Venus) by renaming Monday Feria Secunda (second weekday), Tuesday Feria Tertia and so on until Friday Feria Quinta. Fortunately, this didn't survived except with Portuguese, where Monday is still Segunda-feira, Tuesday Terça-feira, up to Friday Quinta-feira.
Northern Europe languages have kept the sun reference for Sunday except in the gaelic area where this day is named Dé Domhnaigh in Irish, DiDomhnaich in Scottish and Jedoonee in Manx, all three based on dies dominicus.
Apparently French isn't the only language that uses "day of the Lord".
To expand on jlliagre's answer, the pattern I've found with google translate is that southern languages closer to Latin use "day of the Lord" while northern languages with more Germanic influence retain "day of the Sun". Slavic languages seem to be using a different system entirely.
Languages that use "day of the Sun":
Languages that use "day of the Lord":
According to the etymology in 1, dimanche comes from Latin dies dominicu meaning the day of the Lord.