Hello, when in-game I click on the "Clan" tab on the bottom left of the screen, which allows me to see all my companions as well as family. Once I'm in that menu, I can click on my character, and above where it says "traits", there will be my name with a quill next to it. Once I click on the quill it lets me change the name of my character. Once I save the game and exit, it shows that my name is changed, but once I go back into the game, it shows my character with his old name. I can do this with all of my family members, and it saves their names even if I exit and rejoin the game, but it seems to only not work with my own character. I am not using any mods either. Going onto this page also lets you change your family name as well.