I might have misunderstood, but I'm gathering that it wasn't just a normal name that sounds funny with a surname, like Theresa Green or Eileen Dover, but that the first name is not really a name - just a word chosen and used as a name to make it sound funny. The kind of thing you might joke about calling your child but (most people) would never actually do.
So you keep getting something like this (or worry about it happening, even if it doesn't):
Hi, I'm Lisa Higgins
But it says here 'M. L. Higgins'
Yes, I go by my middle name
Ah, well we need your full name, so what's your first name?
Merry. I'm Merry Lisa Higgins.
Ooh, that's unusual, I've never heard of somebody called Merry before. Did your parents have a reason for calling you that?
Yes, my maiden name was Christmas, so my parents called me Merry: Merry Christmas.
What? Why would they do that?!
I think they found it funny.
Oh.
And then there's the awkward silence - thoughts that might be going through their head such as:
Why would you actually do that?
Were her parents really stupid?
Did they not like her?
Is she making it up, just for attention?
And this throws you into the spotlight, makes you feel judged, makes you start to wonder the same about your parents - did they not like me, did they just see me as little more than a joke to give them a giggle and not care about me going through life like that?
But at the same time, it IS still the official name that you were given and it feels odd officially jettisoning it; like doing so would bring all the ill-feeling for your parents out in the open - when they are/were nice, kind parents in all other respects, apart from saddling you with a ridiculous name. Considering officially changing it feels almost like you have to throw away a part of your identity and yourself - even though it's not your commonly used identity, it does still relate to you. Because giving a child a name is such a major thing, you would feel like changing it was a betrayal of them and a huge slap in the face to them, when they just wanted you to have an interesting name.
All the time when, if they'd just called you Lisa Claire, even on occasions when you do have to give your maiden name, it's just:
What was your maiden name?
Christmas - Lisa Claire Christmas.
Ooh, that's a nice festive name!
I think I might see where you're coming from now, OP - and it's a deep-rooted issue that saying "Just change it and stop moaning, so simple" doesn't really address at all. I may be way off, but I think I sort of get it 