The character Hellboy does have a real name as Hellboy would be his nickname. His actual name is Anug Un Rama, and he is half demon but not an evil demon, he wants to do good. He came to earth as an infant and was discovered by the Allied Forces. As he grew, he became immense, had red skin, a tail, and horns.
He also has cloven hooves and one large hand, which is made of stone. He has superhuman strength, heals quickly, has extensive knowledge of the supernatural, can understand magical language., and is immune to being injured by fire or lightning.
Hellboy’s actual name is Anung Un Rama which translates in a non-human language as “and upon his brow is set a crown of flame.” This relates to his infernal heritage since he is the offspring of the demon Azzael and a witch Sarah Hughes.
Azzael cut off his hand when he was a baby and replaced it with the Right Hand of Doom and probably intended to use him for evil and gave him a name that fit that purpose. After he was summoned to Earth by Rasputin, however, he was taken in by human scientists and nicknamed Hellboy, a friendlier sounding name, and the name stuck.
It is unclear that his human mother ever gave him a name and he is mainly known just as Hellboy by most humans. Although his original name in-universe is Anung Un Rama, Hellboy was the original name of the character when Mike Mignola first came up with the concept while making a drawing for a comic book convention.