The phrase "Kyrie Eleison" comes from Greek: Κύριε ἐλεήσον. The first word, Κύριε, is the vocative form of "Lord", which means God is being addressed. The second word, ἐλεήσον, is an imperative which means "have mercy". Put it together, and you get "Lord, have mercy".
This is a common prayer in Christian liturgy, so it makes sense that it's a lyric in requiem masses. As for why the Greek words were not translated into Latin, to be like the rest of the lyrics, the answer seems to be found on Wikipedia.
In Rome, the sacred Liturgy was first celebrated in Greek. As Christianity gained popularity, the Roman Mass was translated into Latin, but the familiar and venerated Greek prayer Kýrie, eléison was preserved, as were Hebrew phrases such as "Alleluia" and "Hosanna". (Wikipedia)
In a nutshell, the lyrics of requiem masses are borrowed from Christian liturgy. The Roman Catholic Church saw fit to preserve this Greek phrase in their liturgy, even when the rest of it was translated into Latin. It's a famous phrase and, in my opinion, one worth knowing!