Answer:
You mean Calvary, not cavalry, right? Calvary is a name for the place where Jesus Christ was crucified. It is also called Golgotha. Some churches use it as part of the church name, and you would need to ask the members, preachers, or founders of each such church to find out why.
Cavalry, an entirely different word, is soldiers mounted on horses. A cavalry church might consist of an army chaplain and the horseback troops who attend his religious services.