Simplest, a pseudonym or stage name (or alter ego) taken on by a dj. A dj may have multiple names which rotate frequently - some pun, some have long epithets (dj spooky aka that subliminal kid). Much electronic music is created by individuals, so "band name" doesn't quite cut it - but how many people, especially in such an attitude-and-image-as-currency field, want to go with their given names? Maybe one or two. Cleverness gets points. Lack of cleverness might get you mistaken for a wedding dj. A dj name may represent a persona - an entity which is as much the product as the music. Take your pick.