Even if a theory is naively (classically) scale invariant (eg: the scalar theory with $\lambda \phi^4$ interaction therm), quantum mechanically, the 4-point scattering amplitude depends on the energy of the scattering particles (as can be shown by a one-loop computation. Tree level computations are the classical approximation). Suppose the scattering amplitude varies monotonically -- then, whatever your coupling at some particular energy, there existsanother energy scale at which the strength of the interaction crosses some predefined number you choose (say $1$ for niceness, or you could even consider $\infty$ which would tell you the "Landau-pole energy"). Thus, the theory has a special scale encoded indirectly in the value of your classically dimensionless coupling $\lambda$.
Similarly, in QCD, even though the gauge coupling is classically dimensionless, but if you account for the energy dependence of the scattering amplitudes, then there is an energy scale ($\Lambda_{\textrm{QCD}} \sim m_{\textrm{proton}}$) at which the gauge theory becomes so strongly coupled that you can never observe independent quarks -- only bound states i.e. "baryons" and "mesons". (This is also known as confinement of colour.)
The scale is said to be "dynamically generated" as it is a consequence of including the dynamical effects of quantum fluctuations. I don't have a better way to motivate the name.