My parents named me after a fantasy TV show character, and it's deeply affected my life

I was born just after the first season of the show. They decided to name me after one of the main characters, but it's not her actual name, but instead her title.
It's pretty dumb. I've been bullied and made fun of because of it in school.
You can probably guess what it is, it's from a dark fantasy TV show with lots of swords and a big throne.
When I was growing up I liked the name because of how unique it is. I remember a teacher asking me if I'm telling the truth when I told her my name when I was about 6-sih. I didn't understand stuff like that really.
I'm considering getting my name changed, but it feels a little wrong to do so. I do feel like it is my own name, and my parents did name me that.
Because of my name, I got into horses and horseriding, emulation I suppose? I am who I am because of it, but the bullying recently is getting to me. Lots of 'riding' jokes. I don't hate my parents or anything but I did feel angry at them today over it

Throwaway because I don't want friends/family reading this lol