Millicent is a ginger cat (mostly accepted as female) that someone involved with the movie claimed, via Twitter, belongs to General Hux. The idea that the highest ranking member of an evil fascist military could have enough of a soft spot in his black heart for a cat appealed to many, and here we are now. It also increases similarities between Hux and Hitler, who had a dog named Blondie.

Why Kylux in particular? Probably because what little we've seen of Hux's attitude towards Kylo Ren can be interpreted as being similar in nature to that of a prickly cat - judgmental yet aloof, with a high likelihood of violence. But given enough time, that cat may let you pet it, and may even one day sit in your lap purring.

Tl;dr, Someone said Hux has a cat, and people who ship evil bastards tend to be fans of cats.

Hope that helps, anon.