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?