When we first meet the character, we meet her as "Marie D'Ancanto".
When we pick up with her again, she introduces herself as "Rogue".
Aside from Wolverine, who seems to go by the name at least partially because of his dog tag, the other X-Men have received their code names based on their powers. Rogue's name not only bucks this trend, but she arrived at the Xavier Institute already having an alias.
Where did she get the name "Rogue" in the movie-universe?
According to the film's official novelisation, her "mutant name" is entirely self-chosen.
“So, what’s your name?” she asked tentatively.
The man chewed on his cigar for a moment, focusing all his attention on the road. Then he finally answered. “Logan. What’s yours?”
She almost said Marie, then decided to stick with the name she had been trying to use since she left home.
“Rogue.”
They sat in silence again for a long few moments. The snow seemed to be coming down even harder, and the slap, slap, slap of the windshield wipers counted the time as it passed like the blurry outlines of the trees.
Finally he said, “What kind of name is Rogue?”
She liked the name Rogue. She felt it suited her perfectly at the moment. “What kind of name is Logan?”
It's not clear where she got the name from originally, other than that she feels that it suits her.
I apologize I thought you were referring to the X-men comics..
The version of Rogue from the X-Men movie was a name she had given herself. Most likely she named herself that because she had run away from home much like how she got her nickname in the marvel comics.
