Butler Shaffer notes some corrections here to his list of pen names, but I have a few more corrections to add:
Mary Wollstonecraft (not “Woolstonecraft”) was Mary Shelley’s mother, not her secret identity. Shelley was the daughter’s married name. Although her maiden name was Godwin, not Wollstonecraft, Mary Shelley went by “Mary Wollstonecraft Shelley,” so this may be another case of a middle-name-mistaken-for-real-last-name.
“Ovid,” “Horace,” “Vergil,” and “Livy” aren’t pen names, since they never called themselves by those names; those are just the English versions of their names (just as, e.g., “Aristotle” and “Jesus” are the English forms of “Aristoteles” and “Yeshuah”).
“Montesquieu” wasn’t Charles Secondat’s pen name, it was his title of nobility: he was Charles Secondat, Baron de Montesquieu. (Like “John Clayton, Lord Greystoke.”) Ditto, mutatis mutandis, for Lord Kelvin.
(Also – does a name count as a pen name if one adopts it as one’s legal name? I believe Alisa Rosenbaum legally changed her name to Ayn Rand (to protect her family in Russia).)

Well thank G-d he didn’t say “Jehovah”…
Conspicuously absent from this list is polish-born novelist Joseph Conrad. His Polish name being Jozef Teodor Konrad Nalecz Korzeniowski, he might come into the same category as Oscar Wilde, but he did change birth name into the more recognizable English form.
Oh, there are plenty of names not listed. Saki / H. H. Munro comes to mind.
And he didn’t change just anybody’s name, he changed his own…