He is called Dharma because he hold all. It is Dharma (virtue) that uphold all mankind. It is by Dharma that the three worlds are being preserved.
धारणाद्धर्ममित्याहुर्धर्मेण विधृताः प्रजाः। यस्माद्धारयते सर्वं त्रैलोक्यं सचराचरम्॥