Where does the term 'steam cockpit' come from?
Well, to answer your second question first: no.  No aircraft instruments actually run on steam.  There are lots of safety issues related to generating and using the steam on board an aircraft that are prohibitive.

As far as why they are called steam gauges, take a look at one and compare it to a traditional flight instrument:

 

They are both round, both have a calibrated scale printed on  them, and both have a needle which points at the current value.  They actually look pretty similar!