OP Your baby, your choice. No question. And best wishes!
I've not seen the game. But I think that it may possibly be making you see the name differently from many other people, who won't know anything about the game, now or in the future.
It's not up to other people what name you choose, but it might just possibly be useful to hear what other people think, because a really odd name will affect the way in which SOME people perceive your son - for the rest of his life. And, as earlier posters have said, Link is not the kind of word that is normally used as a name, except perhaps as a nickname for Lincoln.
When I see the word 'Link', I automatically think (for example) of the biggest bus/coach company in Scotland, called 'Citylink' - their name is all over their vehicles. Or of chain-link fencing. Or of 'Cashlink' ATM machines. Or of Linked-In, the professional networking site, and so on. Other posters have mentioned 'the missing Link' etc etc. I think those sort of associations are fixed in most people's minds, because the word link does have a very precise and particular meaning. Would you call a child 'join' or 'contact', for example?