Hey, that's a perfectly good hero name. Back home I investigated mysteries, ergo Captain Mystery.

[A pause, and the annoyance fades away a little.]

Also, it's like what our Grunkle Stan called himself. He ran a tourist trap called the Mystery Shack, and called himself Mister Mystery. And now that he's traveling with our Great Uncle Ford, our friend Soos is the new Mister Mystery.

[It is a perfectly good name similar to a perfectly good name used by two people he cares about, thank you very much.]