I married into a West Texas family. Winnie Mae, Joe Bob, Jenna Beth, Leigh Ann to name but a few.
When meeting and speaking to people, there’s no audible distinction between “first and middle names together” and “literally two first names or a hyphenated first name.” So I assume that many of those people are thinking of are first and middle names together. That certainly is a common mode, probably more so for women, but also not rare for men, in some areas and cultures.
What with all of the Mary Whatevers from Catholic school and living in the southern US for the past twenty years, I know quite a few women.
I know way fewer men with double first names. I can think of a John Michael, Jean Claude and Jim Bob. One of my friends goes by a nickname at work and among friends, but his family calls him Paul Chris. He went to live with an aunt and uncle when he was an adolescent and they had a son named Paul also, so they went by Paul Chris and Paul David.
Indeed. My given name is Michael, and I usually go by Mike. If someone who doesn’t know me well calls me Michael, I’m not at all offended, but if I think they have a sense of humor, I’ll note, “About the only people who call me Michael are female relatives, unless they’re mad at me, at which point I’m MichaelJOHN!!!” 
The only people I’ve ever known who’ve regularly gone by a double name have been women of Irish descent: I know a Mary Pat, and a Mary Colleen.
There was Jean-Claude Killy, but he’s the only one that comes to mind.
I know a José-Luis, a Kate Elizabeth (who generally goes by Katie Liz) and a Liam Kyle.
There are more folks I know of - actor Jean Claude van Damme, golfer José Maria Olazábal, Detroit Lions offensive coordinator Jim Bob Cooter (I swear to God), and Starfleet Captain Jean-Luc Piccard are a few.
Jean-(whatever) is a very common Francophone male name.
I know at least one in my son’s age group (4), and can think of another younger one. I remember knowing of an adult years ago who went by Emma in the workplace, but signed all her emails “Emma Kate”, which unreasonably annoyed me (it looks like a five year old’s signature).
There’s the actor, Mark-Paul Gosselaar.
I’ve come across a couple John Thomases and John Davids.
There’s also Steve Dave.
I work with a woman named Anne-Marie something hyphenated. Her mother was a big That Girl fan.
Does Gianluigi, as in Gianluigi Buffon, count as one first name or two? If so, I’ve met a Giancarlo or two.
Nice!
Oh, the actor who unfortunately shot himself with a prop pistol, Jon-Erik Hexum.
Three, all female, one of whom is my mother. (Few pronounce the first half of her name correctly, so she goes by the second half only, but it’s not her middle name.)
Jean-Michel Cousteau?
BA DA DA BA DAAA BA DAAAA!
Names of people I know personally who fit the description:
Anne-Marie
Mary-Katherine (although, I don’t know if she hyphenates)
Jean-Paul
snigger
In vintage guitar circles, there is a noted expert and author named John Thomas. I know he travels to the UK a lot; I have no idea how he deals with his name over there.
Carry on.
The only person I know with a double first name is a Jean-Paul, a man.