You cannot change your penguin name on Club Penguin.
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The puffle's name is Yarr
you name it jack
no mnbvrulez
You can change it, but only if you make a new account. That isn't suggested though because you'd have to start your penguin adventure all over again.
Rockhopper's puffle's name is Yarr. Proof is in his journal in the Book Room, which is up the stairs in the Coffee Shop. Answered by the penguin: Jellyfish33