Why is the use of the names Peter and Wendy for the two children in the story "The Veldt" significant?

I would say that the significance comes from the idea that both Peter and Wendy Hadley and Peter Pan do not (at least emotionally) have parents. While the Hadley children do have parents, their parents do not really care enough about them or pay enough attention to them and so they don't feel a strong attachment to their parents.

Because both the Hadleys and Peter Pan don't really know what love is (because of lack of parental love) they have become selfish.  In Peter Pan, the selfishness is relatively harmless, but in The Veldt it certainly is not.

So the significance of the names is that it should point us towards these similiarities.