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Maybe... Pierrot is also a type of clown so maybe their name is like based on what type of clown it is? (this is just my point of view that im kinda not sure of) 

On their tumblr they mentioned the casts names briefly. Saying something along the lines of how they had previous names but fully adapted into their roles, taking the new names with them.

They are just the stage names they borrowed for themselves. Otherwise, it would be hella weird to have normal posing circus clowns be called variations of something like Ḭ̷͕̓g̶̡̱͊͒h̵̰͌̽r̶̯̋͑i̴̠̱̍o̵̭̍͠l̵̡̢̛͛l̴̝̖͛̂'̶̦̄̆t̸͖̓̀h̵͕͕̆e̶̡̮͆̚l̸̮̳̇. 

Their true names simply aren't good for marketing, not to mention all the raised eyebrows they will get from everyone, lol.

Would be cool if there were a deeper lore reason as to why they ditched their true names. Maybe those that know them have power over them like the original circus owner had (this is just my headcanon until proven otherwise, tho)

His name most likely is Jester, as Pierrot and Harlequin are based on clown names too