Before we try to find the answer to this question of why the small finger is pinky, it is imperative to look meticulously into the word pinky's etymology.
In 1808, John Jamieson claimed that the term pinky has originated from Scotland. However, why precisely, the small finger is found pinky. Now, the researchers realized that the answer to this question could easily be found once they fetch the details of the older sense of the word 'pinky'. When explored thoroughly, they found that the word 'pinky' is derived from the Dutch word pink (not connected anyhow with the colour pink), which means 'Little Finger.'
2 It's called pinky because of the Dutch word
Now that you know the story, you would have also got to know that the moniker pinky was not derived because of the reason that this finger is pinkish in colour. But, only because of the extensive use of this Dutch word.