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This was simply a matter of the accent in parts of the USA, where names ending in -o were pronounced with the -uh sound at the end instead of with a "long o". It was common especially in parts of the South to pronounce the name of the state Ohio as "O-high-uh" instead of "O-high-O", for example, and some people would write it as "Ohia".

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So it wasn't just Lorenzo that sometimes turned into Lorenza. Alonzo also often become Alonza back then.