This is known as On Behalf Of notation. The way to eliminate this notation is to ensure that the email address for the Sender: field and the From: field use the same domain. For instance, for both the Sender and From field, they both need to end in either domain.com or mg.domain.com, whichever one is currently a custom domain on your Mailgun CP.
When sending, you should always make sure the domain you are inputting in the From: field matches the domain you have added and are sending from using Mailgun. If these domains do not match your messages have a high chance of getting marked as spam and showing up with "on behalf of" or "via".