Talk to Fanna about that, I'm sure she's come up with some for them...I know she's got a whole headcanon for Cable
Honestly though, I think last names don't mean much in pretty culture...no one uses them. Its probably got somethign to do with the fact that, once you're old enough to move away from your parents, you do. And then you never really see them agian. One of the reasons you have a last name is to trace your lineage, and if that's not important...
Which of course makes me wonder...when pretties get married, do they agree on a new last name for themselves?