Members of the crew are either called formally by their rank and last name, ie; Captain Picard, Commander Riker, or called by their first name informally, Jean Luc, Will, etc.
Although there are some examples of members of the crew being called by their Last name ie; Q and some Admirals refer to Riker quite often as 'Riker' not Commander Riker, I can think of no example where a person is referred to as their rank and first name, ie; Commander William, or Captain Jean Luc. And if there is an example of somebody being called by rank and first name it's definitely not protocol or something that's done regularly.
Worf was adopted and raised by Sergey and Helena Rozhenko. If you want to say it's just a Klingon designation do remember that Worf's son who is 3/4 Klingon is referred to as "Alexander Rozhenko" taking the family name.
Also take into account that half Klingon "B'Elanna Torres" uses either the designation B'Elanna informally or Lieutenant Torres formally.
I realize that Worf is full Klingon and Alexander and B'Elanna are not, however it would be disrespectful to his adopted parents as well as not following starfleet protocol to be referred to in this way.
One could make the same argument for Data as Data was created by Dr Noonien Soong. But Data refers to Dr Soong as "like" a father. Data called him father for the first time in TNG: "Brothers" which was well after Data had a name selected, and shortly after Dr. Soong's passing, which did not include a last name. Data was also created and was not adopted or raised by anybody else. Guinon is only referred to as one name, but does not have a rank so she would not be addressed by her surname.
In TNG Episode Family:
RIKER: Continue with the testing, Mister Worf. Here's the final schedule for the shore leave and for the personnel transfers. By the way, I'm looking forward to meeting your parents.
RIKER: They're on the visitors' list. You didn't know?
WORF: No, sir. It is inappropriate for a Klingon to receive family while on duty. As humans, my parents do not understand.
RIKER: Well, I'm not sure that I would either, Worf, since this isn't a Klingon ship. If you don't want to see your parents, that's your business, but we don't get to Earth all that often. I'm sure we can arrange for you to have more off duty time while they're here.
WORF: My mother is never on time. It is so human of her. O'BRIEN: Well, you know women.
WORF: Mother. Father.
SERGEY: You look good, son. Put on a little weight, huh?
SERGEY: Sure you have. Looks good on you. Still working out with those Holodeck monsters, I bet.
WORF: Let me take you to
SERGEY: Always good to meet another Chief Petty Officer. Sergey Rozhenko, formerly of the USS Intrepid.
O'BRIEN: Miles Edward O'Brien, sir. Good to meet you.
SERGEY: Don't call me sir. I used to work for a living.
HELENA: He's joking. The proudest day of his life was when Worf earned his commission.
SERGEY: Can you imagine an old enlisted man like me raising a boy to be an officer?
Worf's considered to be raised by the Rozhenko's.
SERGEY: So we walked into the school and we don't know what to expect. Is Worf hurt? Is he in some kind of trouble? The door opens and there is our little seven year old sitting on a chair and glaring across the room at five teenage boys, all of them with bloody noses.
Worf was raised from a small boy by the Rozhenko's.
SERGEY: Amazing. Commander, if you have a couple of minutes, there is something else I want to ask you.
LAFORGE: Sure, Chief.
SERGEY: It's about my son.
SERGEY: It's a great crew, son, and they think the world of you.
HELENA: They really do.
WORF: Mother, Father, I wish you would be a little more reserved while you are on board.
HELENA: I know. We go too far, sometimes.
HELENA: I can't just leave it alone. I'm his mother.
GUINAN: You know, sooner or later, everyone comes in here. They stand by those windows and they look out and the stare. They're looking for that little star they call home. It doesn't matter how far away it is, everybody looks anyway. I'm Guinan. Pleased to meet you. You're Worf's parents?
SERGEY: Sergey and Helena Rozhenko
Clearly from the above quote the Rozhenko last name is known to be associated with Worf.
GUINAN: Well, part of him may feel that way, but there's another part that I've seen. A part that comes in and drinks prune juice. A part that looks out the window towards home. He's not looking toward the Klingon Empire. He's looking toward you.
SERGEY: And that we're proud of you, and that we love you.
HELENA: You're our son.
WORF: These are my parents, Helena and Sergey Rozhenko. (They shake hands)
PICARD: Delighted. Sir.
It's clear from the above quotes that both Worf considers the Rozhenko's to be his parents and they consider Worf to be their son. In addition Worf has a brother named Nikolai whom he referred to as "brother" . There are many more episodes with Worf referring to his Rozhenko brother and/or Rozhenko parents as brother and parents respectively.
In addition Worf has the Klingon Designation "Son of Mohg" so he could be referred to as Lieutenant Mohg, or more correctly he is from the "House of Martok" so he could also be referred to as Lieutenant Martok, using Martok as the surname.
In the TOS novel: "The Final Reflection," "Vrenn Khemara" used this name after being adopted into the house of Khemara. So there is precedent to use the house name as a surname in the Klingon naming convention.http://memory-beta.wikia.com/wiki/Klingon_nomenclature>
But in light of his relationship with the Rozhenko's Worf should be called either informally as 'Worf' or formally as 'Lieutenant Rozhenko'.
Why is he called Worf and/or Lieutenant Worf? Is there is anything in the STU or EU where he actually makes this choice in names or that this use of one name for him is explained? Please include the episode/novel and quote.
I'd like to add something about naming conventions, I alluded to it in a comment to a question below but I'd like to elucidate this matter. There's a difference between observing a religion, having a culture, nationality, assimilation, etc. These concepts are not necessarily interchangeable and don't necessarily mean the same thing. Here I am talking about naming conventions, respecting his adoptive family, and Starfleet protocol. For example, I am Jewish and in Judaism we have a naming convention. The naming convention is name, son of name, tribe (we only use three today - Israelite, Cohen, or Levite). An example of this would be Moses son of Abraham, the Levite. The Klingon naming convention is identical, for example Worf son of Mohg, of the Klingon House of Martok. Just because I have that naming convention doesn't mean I don't use my American name. Worf has a culture that he's a part of as well as a race. Both of those include certain traditions; ie, he has a certain diet, wears certain attire, celebrates certain religious ceremonies, has a language, etc. Same for me, I keep a kosher diet, we have traditional foods we eat, I keep my head covered, attend services, speak and read the Hebrew language, etc. I use my Hebrew name at religious ceremonies and when praying, otherwise I use my American name. I use it because that's what the society I live in uses. It does not diminish my beliefs, faithfulness, feelings towards, or practice of my Judaism to use my American name. It's also not my choice to just use my Hebrew name. I would have to go and officially have my English name changed to my Hebrew name, discard the English name, and it'd have to be approved by a court in America. My question is not about whether Worf is dedicated to some Klingon customs or rituals. My question is simply one of naming conventions and Starfleet protocol.
If your answer is that it's simply him wanting to use his Klingon name then they should refer to him as "Worf, son of Mohg," "Worf son of Mohg, from the house of Martog", or "Worf of the house of Mohg." Any of those would meet Klingon naming conventions however I don't know of an instance or of a common use of those names by Starfleet personnel.
Also Klingon is not like Bajoran, let's say, where the naming convention is simply reversed when it's listed (last name, first name). http://en.memory-alpha.wikia.com/wiki/Bajoran
Also to act as if Worf has disdain for his human upbringing is simply wrong. I'm not going to go through and cite every example of his disdain for Klingon culture and embracing Human culture, but a clear example of this is TNG "Redemption":
*Kurn: But it's our way. It's the Klingon way.
Lieutenant Worf: I know. But it is not my way.*
Further he sires a child with a half human mate K'Ehleyr, and decides to have his child raised by his human parents despite calls for him to go to the Klingon homeworld to be schooled properly in Klingon custom. Later on Worf even leaves his child back with his parents because he feels it's better then a Klingon upbringing (DS9: "The Way of the Warrior"). Further an Alexander from the future comes back to try and kill himself and warns Worf of too human an upbringing, clearly showing that Worf did not have a predilection for all things Klingon or to even have his son raised that way (TNG: "Firstborn").
So some things he likes and takes that are Klingon, and some things he embraces are Human and Starfleet. This is not a dissertation on Worf's personal views of everything, it's simply a question of Klingon naming convention and/or his adoptive parents surname, how he's addressed, and Starfleet protocols. Please keep this in mind when answering the question.
More additions based on the answers below and lengthy discussions about Worf's name:
"Young Worf Rozhenko turned to face his parents..." Chapter 1, Page 2, "Starfleet Academy #1 Worf's first adventure" by Peter David, published by Pocketbooks a division of Simon and Shuster.
The above is a novel.
Worf, son of Mogh, of the House of Martok, (2340- ), also known as Worf Rozhenko, was one of the single most influential people in Klingon and Federation politics of the late 24th century. http://memory-beta.wikia.com/wiki/Worf,_son_of_Mogh
The above is a wiki page.
"Upon arrival at the Academy campus in San Francisco, but before checking in, Kebron picked a fight with the Academy's first Klingon recruit, Worf Rozhenko." Personal Bio of Lieutenant Zak Kebron, http://spartanfleet.wikidot.com/zak-kebron
The above is a Wikidot bio
"Although the successful conclusion of the Dominion War and the appointment of Worf Rozhenko as Ambassador to the Court of Kahless..." http://www.starfleet-museum.org/klingon1.htm
The above is from Starfleet Museum
"The first three books were written by Peter David and follows the story of Worf Rozhenko’s..." Review of the "Star Trek: The Next Generation – Starfleet Academy 01: Worf’s First Adventure" http://shareduniversereviews.blogspot.com/2013/10/star-trek-next-generation-starfleet.html
The above is a book review
...also known as Worf Rozhenko... Another wiki entry, http://misc.thefullwiki.org/Worf
The above is a wiki entry
"...follows the story of Worf Rozhenko’s and many other cadet’s first few months at the Academy." Book review, http://www.goodreads.com/book/show/217784.Worf_s_First_Adventure
The above is a book review
Colonel Worf, grandfather of Worf Rozhenko... Page 2, Timeline, "Star Trek: First Contact By John Vornholt", published by Simon and Schuster
The above is another novel
One was in a very old Klingon Dialect, Worf was able to translate as the captain identifying himself as "Worf Rozhenko"..." "Star Trek: The Next Generation: Q&A", By Keith R. A. DeCandido, published by Simon and Schuster
The above is another novel where Worf actually identifies himself with a surname.
"You must be talking about some other Worf. No. Ambassador Worf Rozhenko" Pg 194, "Star Trek Online: The Needs of the Many" By Michael A. Martin Published by Simon and Schuster https://books.google.com/books?id=-JKjIQSJZJwC&pg=PA194&lpg=PA194&dq=%22Worf+Rozhenko%22&source=bl&ots=rnZ2cJ-pEP&sig=QsOjlU46jLxIJ3zNxkDzdurvihY&hl=en&sa=X&ei=zFIoVZ74L4O8ggTy7oLABA&ved=0CHAQ6AEwEg#v=onepage&q=%22Worf%20Rozhenko%22&f=false
The above is another novel
"...but instead with the injured ego of Worf Rozhenko...", page 160, Imzadi II: Triangle, By Peter David, published by Simon and Schuster
The above is another novel
As a citizen of the United Federation of Planets, the teenager so called officially Rozhenko Worf, Google translation of French Wikipedia entry, http://fr.wikipedia.org/wiki/Worf
The above is a French wiki page translated, not sure if in France they reverse the order of the names, or if the google translator did that.
So there are a number of examples of his using his adoptive parents' surname. I suggested above that he would have taken their last name as his own, being that he was only a young child at the time, and for official federation documents he would need to conform to the local naming convention. Now we have proof.
Go online and try to apply for a credit card, or walk into a bank and try to get a bank account with only one name, and see how it works (It might work for Prince or Madonna, but not sure about anybody else).
So my question again is why is "Worf" called by one name and not title/last name. Does everyone have the right in Starfleet to be called whatever they want or is this a luxury only afforded to Worf?