Because then his sister (and Guy, when he's feeling particularly chummy) can call him Finn.
Nat: Finn? Your name is Finn? I must say that doesn't suit you.
Merton: It's short for Phinneas, Your Highness.
Bea: Actually, it's short for Finicky, which is what everyone called him when we were kids.
Nat: Ah, now that suits you.