When Peter describes himself as just "Peter Pan," Wendy is surprised at his lack of names outside of a given name and surname. It is possible she also thinks that "Pan" is quite short in syllables as compared to her own surname-- "Darling." Wendy, herself, has four names in all--a given (or first) name, two middle names, and one surname. For the time period and assumed social status of the Darling family, it would not have been uncommon for Wendy to know people with very long names. The book Peter Pan was first published in 1904, so we can assume the setting to be around around this time, possibly earlier. Based on the fact that Mr. and Mrs. Darling are dressing nicely for an evening social event and can afford to employ household staff, they are likely of the upper or upper-middle class.
During both the Victorian and Edwardian periods, people of the upper classes of society often had very long names as a means of carrying on their heritage. There could be multiple given or middle names, one or both of which was commonly a family name. For example, Wendy's brother George is named after his father, but would likely have a different middle name. In the uppermost part of society, people also had titles such as Lady or Baron or Duke. Wendy has most likely become accustomed to people having rather long names, possibly including multiple middle names and titles. No wonder "Peter Pan" sounds short to her!
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