No, this seems to me like a thing to do only to get attention from someone you have a difficult relationship with.
I never had any deep thoughts about my name, only that it was old fashioned.....of the heathen religion, and well, I like it.
To me, adressing someone by their first name is something you only do if you do not know the person very well, but you know their name and want to get their attention for some purpose. Or someone is calling/shouting/ranting at you.
But, if I were to have some very generic name, like Mark or Kelly(which can be applied to both genders), then maybe I would. I'm very sceptic to changing my name to something based on a fantasy universe though.
Like Cosmic Orion *cough* or Yue, or Valkyrie. How do you know how it will feel to officially go by such an "exotic" name? Not today, not tomorrow, but ten-fifteen years from now. What if it doesn't turn out to be such an awesome idea? Will you change it to something else, or will you change it back?
If we're just talking about telling people you would like them to adress you by 'so and so' in oral life, and not to actually legally change your name in...whatever register they use [IN YOUR REGION], then....JUST GO AHEAD, I've personally been adressed by my surname or nicknames for the most of my life rather than my first name.