AFAIK there is no vanilla mechanic that changes a character's dynasty name automatically, but you could do it via a mod that checked continuously for change of culture. Set it to run for ai= no and it wouldn't eat too much cycle time either.
I've seen characters change name upon culture change though?
Charlie goes from Karl to Charles if he switches from Frankish to French.
Afaik all I have to do is add Knud_Canute in the culture files and it should switch automatically, I had no idea it was by event (doesn't seem to be though as I've seen chars switch when paused even when the change is via console). I imagine adding an event is definitely going to change the checksum but is just adding name localisations going to change it as well?