And indeed, he did have such a given name, Kuian Jian.
However, the Empress was guilt-ridden about the extermination of her family and didn't want to take the last remaining piece of Rong Jian's parents away so allowed him to keep that surname and gave him permission to use either surname as he wished. The Emperor, also upset about what had happened and feeling like he owed both the Empress and this nephew of his, also gave his explicit permission, mirroring the Empress's words. And feeling the need to express his filial piety and to perhaps lure out the perpetrators, Rong Jian had always introduced himself with his initial surname. So up until now, the given name of Kuian Jian was really just a formality to appease some stubborn old geezers.