I've never seen this happen IRL, but there have been a few people who have come on Ops over the years and said they ended up disliking their baby's name. I remember one woman had named her daughter Marinda, but felt that it just didn't suit her after a couple of months. That's the one that sticks out the most.
Obviously, it happens. I don't think it's a big deal if you change it before, say, the five month mark. It would be weird, but people would get used to it.