As I gathered from several sources, the story goes that the Jonathan Levi Company decided to open a new chain of grocery stores in the Schenectady area and "probably" named them after the station due to its popularity. I would say it’s more like definitely since there’s no doubt that’s a very old-style radio transmission antenna hung above the factories in the label’s shield. That also helps date this label as most likely being from anywhere between 1930 and 1938 as it was in ‘38 when WGY built a new tower-style antenna that is still in use today.
As with most stations of its kind, WGY is now in the hands of the iHeartMedia conglomerate and doesn’t do much any longer beyond churning out the usual syndicated political blowhard programming.
ADDENDUM 2017.09.28 2:50 PM PDT: After tweeting this entry at the good gentleman that runs the fabulous Groceteria.com — as I had my doubts the grocer WGY was a true chain after seeing only one on his list for Schenectady — he tweeted back this great article from Hoxsie!