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The rock was known, before Heinrich Heine, for the "echo" the wind made as it passed the rock - it was where he took his inspiration from. So it makes sense that he used the name of the rock for the woman in his story, especially considering the time he lived in - 1797-1856. Certainly the rock would have been named before then?

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On a side note, it is also possible that the name means "wind rock", as lorren/lurren refers to the sound wind makes. This doesn't seem as likely, though.