The worgen are a small community of cursed humans who, as a result of this curse, have a wolf form similar to a werewolf. Their wolf curse origin dates back to a time of night elven druids who were devout followers of the ancient wolf Goldrinn, or Lo'Gosh as tauren know him. These druids eventually tried to spread their forms through the curse that still affects the worgen.
Worgen names don't seem to be different from regular human names. Some names, like Greymane, may seem to be chosen, but they're almost always a coincidence, purely a name they had before their curse and that now fits their curse.
Their culture is based on Old English cultures, as well as some other European cultures like German, so picking a name to reflect this could work better than picking a name from a different culture.
If you really want to role play your Worgen to the fullest, consider taking one of the following last names:
Allen, Aranas, Armstead, Arnes, Atherton, Bottomtooth, Buckley, Chesterhill, Crowley, Darkwalker, Derrington, Hammond, Hayward, Moller, Murray, Oxworth, Spellwalker, Sykes, Walthorn or Whitewall (and Whitemane, but don't pick the last name of a leader).