Oh, please, kind sir, tell us ignorati what those initials mean.
I'll take a crack at a full explanation, beginning with the fact that Slim seems to dislike this strange need of some to provide nicknames/abbreviations for all our players, which are occasionally longer or harder to say than the players' actual names.
Enter newly acquired player Rudy Gay, who happens to have two small and easy to type names. Resigning to his fate and acknowledging the inevitable, Slim proposes a nickname for Rudy to get it over with.
He suggests NTTAWWT. This is an acronym for the saying "Not that there's anything wrong with that" which originated from the television show 'Seinfeld'
The connection is that this saying was used on the show in reference to gay people, gay tendencies, gay behavior, etc. Gay is Rudy's last name.
And an awful nickname was preemptively born.