The closest thing I can think of is a tale that some mothers will whisper a name in your ear right after birth and that's your spiritual name. However, I don't know anyone who does this and I believe it's based off a Jewish myth or stereotype or something so don't quote me.
If you're referring to a magickal name, there are a number of ways that can be found. [Numerology for example.] It's a name you choose to be called in circle and when you speak to your deities. I don't feel it's mandatory though, I've jumped around for years trying to figure out mine and I'm still not 100% on anything. It doesn't prevent you from casting spells or speaking with a deity, it just help set the mood and make things more personal.