Although unfortunately it wouldn’t have solved the other 99.99999% of Barron Trump’s embarrassment that derives from his family name.
I do like the name Penn Jillette gave his daughter.
It’s a nickname though, hardly the craziest thing MJ had done. His real name is Prince Michael, which is apparently no good either.
Icelandic First Lady Eliza Reid, who is Canadian, has said that Icelandic parents who want to name their children after her are a bit stuck, because in addition to “Eliza” not being on the approved baby name list for Icelandic citizens, the “Z” letter and sound do not exist in the language.
The “approved baby names list” is not static; in any case it is easy to search it yourself:
Elísa, Elísabet, Elisabeth, Elísabeth, Elíza, Elizabet, Elízabet, and Elizabeth are all approved; in fact “Eliza” is the only variant which seems to be officially rejected atm (presumably because there is so far not a critical mass of Icelanders spelling their name that way, even though I doubt Reid is the only one).
ETA here is a blog of approval/rejection decisions; e.g. “Nathalía” (as opposed to “Natalía”) was previously rejected but is now approved; “Kisa” was rejected because it is a cat’s name but “Hneta” was approved even though it had been a name for horses, “Ýda” was initially rejected but approved 5 weeks later, “Alexsandra” was rejected for the 4th time so apparently they really don’t like that one, “Tatíana” and “Tatjana” were approved but “Tatyana” was rejected and “Tatiana” was rejected twice, etc.
Has there ever been a better example of “play stupid games, win stupid prizes”?
Although “Eliza” was rejected in 2001, the variant “Elíza” was rejected in 2003 but later accepted in 2013. I’m not sure of the significance of the vowel difference in Icelandic, whether they would be perceived as significantly different. There’s an Icelandic singer Elíza Newman, born in 1975 and named Elíza María Geirsdóttir at birth, before the Icelandic Naming Committee was established in 1991. Perhaps this precedent for an Icelandic native prompted them to allow this variant while continuing to reject Eliza.
List of rejected Icelandic female names - Nordic Names
The whole saga with Icelandic names is interesting. A court case in 2013 ruled in favor of gender-nonconforming first names, and in 2019 parliament passed legislation on trans & non-binary rights that included a gender-neutral variant of the patronymic/matronymic suffix.
I see what you did there. 
i = /ɪ/ or as in “bit”
í = /i/ or as in “free”