Hey there! This is part of the new user tutorial. When you're done with the tutorial you'll be able to select a new name.
It is a most wonderful name, gives you character and makes you stand out.. And as ATA have already stated you are given the option to change this during the beginning stages of the game. You may have just been clicking away, rushing to start the game, it asked a question like "is your name really "PeterPan" or is it something different?", it is at this crucial and easily missed time you are granted the chance to change your name. (Providing it is available and within the rules).
Re: change of name. Is there any chance a player can change his or her name once set? Perhaps an option can be nade available at a cost with gems or something? Thanks
Send a message through the in game help window requesting a name change, and the name you would like. Menu -> extras -> help -> new ticket