Sarah Liberman mentions another state-named fictional character: Nevada Smith, from the movies The Carpetbaggers and Nevada Smith. (I wonder if that's what the name Indiana Jones played on?) She adds that she's sometimes been called "Es" for short, which reminds me to add the nicknames "Effie" and "Essie," not quite letter-names but close.
I'm also reminded that "Zed" is used as a nickname in some circumstances, and that only my America-centric view of the alphabet prevented me from listing it as a second-half-of-the-alphabet counterexample.
(Last updated: 3 July 1997)