lol yes, let's name my dog after the King of [censored]. But trust me, I went through like every Daedric Prince's name to see if any would work, and most are either really evil sounding, or would only work for a male. Because if I had gotten a male, hands down, his name would have been Hircine. But Azura is the only one that seems to fit a female and it sounds nice.
Well, in my game of Morrowind, I'm the Nerevarine and my name is texnshasta, and my character is female, so shasta works if you want to name it after gods.