I just ran a quick check of all installed databases on my system (something I'd never done before) and I recognized all of them except for one. The database name is phpmyadmin_[random string]. I'm just being paranoid here and want to make sure that such a database belongs on my system (I do, for the record, have and use PHPmyadmin).
It does create its own database but the name depends on the PHPMyAdmin version. Check scripts/create_tables.sql - also it's important to make sure that scripts/setup.php is NOT available to the Internet, and in general PHPMyAdmin should be .htpasswd protected to prevent it from being exploited.