No one here knows that Rambo isn't a first name so it's ok.
The guy was born in '99 or something so maybe people won't even know who Rambo is by the time he begins to attend school. Let's hope for him.
Naming your daughter Reimu is OK for the same things IMO, because no one will know it's in fact a video game character. Though naming your daughter with the name of a fictional character you probably spent days wanking to is a little bit weird.