Please check your facts before you ask questions, especially as an anonymous guest who might be suspected to be a troll.

Ewan MacColl, not Maccoll, was born James Henry Miller, not Jimmy.
Jim Moray, not Jon Boden, was born Douglas Oates.

To your question, "[a] performer will often take a stage name because his/her real name is considered unattractive, dull, unintentionally amusing or difficult to pronounce or spell, or because it has been used by another notable individual or because it projects an undesired image. Sometimes a performer adopts a name that is unusual or outlandish to attract attention. Other performers use a stage name in order to retain anonymity." (Wikipedia)

Again according to Wikipedia, James Miller changed his name to Ewan MacColl "influenced by the Lallans movement in Scotland".

In the case of Jo Freya, she changed her name from Jo Fraser "as a condition of joining the actors' union Equity, which does not allow two of its members to share the same name". (Wikipedia)