I've never met a Japanese guy who was just named Kyo. Kyohei or Kyosuke, yes, but not just Kyo. Kyo can also mean capital (city) and is one of the kanji both in Tokyo and Kyoto (Japan's old capital).
Note: this is often terribly mispronounced as ki-o. The y in Japanese is never a vowel, so it's a consonant cluster with the k and y sound running together and followed by the o.
Of course, in Kyo (Dir-en-Grey)'s case, the name Kyo is derived from the first symbol for Kyoto, which is where he is from. I've never heard this name used as a given name in any other circumstance in real life, so naturally it's unique to...eh...Kyo. It's a lovely name, I must admit though, one of my favourites.
― Anonymous User 2/3/2006
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This name has become more well-known thanks to the manga and anime Fruits Basket which has a character by the name of Kyo.