Black sheep wall itself is not an idiom or saying in English like many of the other cheat codes.
However, a black sheep is a family member who does not live up to the parents' or family's expectations. Or one kid who "goes bad" while all the other kids do great. It could be that the wall lets you see all the black sheep (i. e., the aliens).
There is a song "Black Sheep Wall" by The Innocence Mission. The album that the song is on was released in mid-1989, years before Starcraft was first released, March 1998. Some Starcraft fans say the cheat code refers to the song title. The song is, here on YouTube and you can Google the lyrics yourself.
There is now a band called Black Sheep Wall that is allegedly named after the cheat code.