Nico's full name is Nicolas (sp?). He started going by Nico when he was young because the people around him in Italy had trouble pronouncing his full name properly. He even decided that people could just assume it stands for Nicolo (sp?) or something, it doesn't matter since he goes by Nico anyway.

(A/N: It's actually canon that his name is Nicolas (sp?). It was in the ToA series. I looked it up, and the name has Greek origins.)