1.
Unity Valkyrie Mitford. She came from a fascism-supporting family, as far as I remember.
2. The opera (Die Walküre) by Wagner, who was an anti-semitic and "germanic and norse mythology-activist" composer.
He was really beloved in the 3th Reich.
3. See
Melissa's post
4.
Pablo Picasso called his beloved Maria-Teresa
Walter (I'm not sure if the spelling is correct) Valkyria/Valkyrie because of her fair hair and blue eyes.
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Valkyrie is, (at least to me) as Array and some other posters have pointed out, a complete "supermacy in action" name that has a smell of nazism. Maybe I'm overreacting, but every single time I hear about this name used I think authomatiaclly: "Are there some ideological reasons behind it?". :P