Nathan renames himself!

So for awhile now, Nathan has been calling himself Nay-Nay. He officially got the nickname in daycare. Some of the kids had a hard time saying his name and so hence, Nay-Nay was born. It stuck and everyone in daycare called him by that name. I thought it was a phase he'll go through but he really likes the name. He now corrects me if I call him Nathan. I ask him his name and he says Nay Nay. He is adamant that Nay Nay is his name. I've been correcting him and he gets upset to the point that he starts crying. So what do I do? Cave in and hope that one day he'll revert back to Nathan.