No, they have no names...
The Overlord has always been referred to as "Overlord" or "evil Overlord" by occasional visitors, so he grew accustomed to introduce himself as that too.
The ghost has been wandering for so long that she forgot her past life, I call her ghost girl. She has been called with dispregiative names by several mortals, as she often tricked, scared, mocked them until their -natural- death; after centuries she eventually got tired of it, since when they die it's forever and she can just mock them for a tiny fraction of time. This was before she met the Overlord