O is a surname in Korea. I remember reading once about a Korean immigrant to the USA who eventually had to change the spelling of his surname to "Oh" because the bureaucrats at places like the drivers' license office just wouldn't believe his last name could be "O". !
There also have been quite a few people in the USA whose parents have given them names which are just initials. Usually there are at least two letters which are always both pronounced when the person is being addressed: A.J., J.B., etc., though I suppose that some of these people probably have a single letter in the first name spot on their birth certificiates, with the second letter in the middle name spot.