Mine is a made up name, my first Morrowind character (a Breton), then copied over to Oblivion (also a Breton). I had met someone with the last name of Leyden, so I just added the extra "ne" to feminize it, make it sort of frenchy/breton-y sounding. :shrug: It was just pretty random, I didn't think I would be sticking around as long and as happily as I have, otherwise I might have tried for something cooler. But I like it well enough. I use that name here and there, or a portion of it "Leyde", but have other internet alter egos that are not at all related to ES games.
Wow, never made the connection with Leyden in your name.
I actually live in the city http://en.wikipedia.org/wiki/Leiden (used to be spelt "Leyden" in Dutch some centuries ago, and apparantly it still is in English)....
My name comes from a combination of the first three letters of my first name (Dennis) and from Smeagol, my (deceased) cat (named after, well you guess. Put those together, misspell it, add another D to make it unpronouncable, and you get densmiegd.
Also, my usual nickname "themanice", was taken at the time (probably by me, but forgot the password).