OK, I did a search and found this page, Scots and the British Secret Service, that shows his name as Sir Mansfield Cumming (no hyphen.)
Does that mean that if my name is Loin, and I’m knighted by the queen, I can’t ask people to call me Sir Loin? 
Here’s another hypothetical for you.
At my previous company we had two employees from the Tamil region of India (near Madras.) Both only had one name, which is the custom in their region. For example one was called Diwakar, when he came to the USA he used his father’s name as his “last name” to make USA officials happy.
Suppose Queen Victoria had been visiting her colony, and a young man, yclept Diwakar, saved her from being trampled by an elephant. Our beloved majesty decides on-the-spot to make the young man a KBE. How would you go about addressing him?