What I remember of the story: female was an omniscient being (with no physical body); male was a space cowboy (rounding up space junk for scrap); they have philosophical discussions over a period of time; he describes horses to her; she asks him to describe human physical love, which doesn't make sense to her; in order to experience love, she must take a human body; this means giving up her omniscience, she will no longer live forever; obviously it is worth it, because in the final scene he is herding their children along and the names are "Palomino" "Appaloosa" (I don't remember the rest, but all the girls are name for horse breeds), but the littlest is a boy named "Elephant" - and I think that's the name of the story too. From a collection of sci fi anthologies on my teacher's bookshelf--there were 17 books in all, no bookcovers, just brown paper covers with a year handwritten.
The ending you describe is almost identical the end of John Varley's short story Equinoctial
“We’ll go with you. Say, what are your names?”
“Army,” said one of the girls.
“Navy,” said another.
“And Elephant,” said the boy.
The story involves the relationship between a human woman and her genetically engineered symbiotic spacesuit (symb) living free among the rings of Saturn.
Well, it's a long shot, but trolling through the ISFB I have found the following story:
An Elephant for the Prinkip; L. J. Stecher, Jr; Galaxy Magazine, August 1960, collected in "the 10th Galaxy Reader"
Pros: Has Elephant in the title, right time frame, appeared in an anthology
Cons: Could not google up any info on the content of the story; there were 11 Galaxy Readers, not 17