Monroe was invited to spend the weekend with Lyon and his wife Bebe Daniels at their home. It was there that they decided to find her a new name. Following her idol Jean Harlow, she decided to choose her mother's maiden name of Monroe. Several variations such as Norma Jeane Monroe and Norma Monroe were tried and initially "Jeane Monroe" was chosen.
Eventually, Lyon decided Jeane was too common and he suggested "Marilyn", saying that she reminded him of Marilyn Miller. Monroe, at first did not like it because Marilyn, was the contraction of the name Mary Lynn, a name she did not like. Lyon, felt that the name "Marilyn Monroe" was sexy, had a "nice flow", and would be "lucky" due to the double "M".
Video: Norma Jean: