In some parts of the world, you actually can't name your baby whatever you want. Some countries can rule that the name would be harmful to the wellbeing of the child.
Such was the case of a couple in Switzerland, who wanted to name their baby "J". Not "Jay", but the actual letter Jay.
The parents wanted "J" as a name to honor their baby's grandparents, Josef and and Johanna, but a court in Zurich ruled that it was too confusing--the name was meant to be pronounced "Jay" but the letter is pronounced "Yott" in Switzerland.
See the full story at Newser.