My name has always been DJ. I made it legal as soon as I was old enough to (yes, it was worth the effort). It's not initials. You don't need to know more ;-)

Yes, the capitalization is not normal, and yes, it causes problems (and occasionally, entertainment). Yes, my login is "dj". DJGPP's capitalization follows it (DJGPP/djgpp but not Djgpp). It does tend to weed out people and systems that make invalid assumptions about personal names.