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I seriously doubt their names will change. The only way I can see a possible name change is by Roxas or Xion, because they were given that name and never had the opportunity to pick their own. But I don't want that as I love their names.
I think what EeL meant is that it was Xemnas who gave Roxas and Xion their names, meaning other than the issue of them bearing a constant Recusant's Sigil, there could be a bunch of psychological factors related to it.
Not gonna lie, I don't think they will (and Xion is a really cute name imo), but it's not that absurd that they could. At least not storywise.
While it was indeed Xemnas that gave them their names, that doesn't have to mean these names are suddenly "tainted" or something.
On the contrary, claiming these names for themselves and only associating them with their positive notions (like confirming them as their own people as UmbraTsuki mentioned about Xion) can be actually really empowering and giving a figurative middle-finger to Xemnas and Xehanort.
It doesn't have to, but it's a possible interpretation.
Kingdom Hearts put a lot of stress onto names and their meaning, and usually names chosen to represent what you are and not who you are (DiZ, Ansem for Riku), are put in a bad light. "Roxas" and "Xion" can be seen as part of the themes "Roxas is just Sora" and "Xion is a puppet", with a notorious negative connotation to them.
Again, I'll be the first one to be surprised if a name change does happen and I don't feel like we need it. But I feel both readings (names being negative vs names being a middle finger to Xemnas) are possible.
There is a difference though, as "DiZ" and "Ansem" were names who Ansem the Wise and Riku gave to themselves, they weren't granted upon by someone else and it was done deliberately to distance themselves from their "true" identity.
With Roxas, Xion and Naminé though, these names are their true identity.
In KH 2 Roxas is asked the question "do you know your true name" with the expected answer being "Sora" by those who argue he doesn't really exist or doesn't deserve to exist, but the actual answer is "my true name is Roxas" since that's who he truly is in the end.
Both readings are certainly possible, but I do not feel that them changing their names would add anything meaningful to the story, on the contrary it could even damage it since their struggle to become their own people also includes these names.
Generally going just by the hypothetical scenario though, to what should/could they possibly change their names anyways?